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Estimation of structural econometric equations (in Russian)

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  • Stephen Pollock

    (Queen Mary College, University of London, UK)

Abstract

Derivations are offered for the LIML and the 2SLS estimators of single equations of the classical econometric simultaneous-equation system that differ from the usual ones. By assimilating both estimators to the method of moments, their essential similarities are highlighted. The LIML estimator is derived from a least-squares criterion that exploits the interpretation of the structural equation as an error-in-variables model, and the 2SLS estimator is obtained by an approximation that is asymptotically valid. The LIML estimator may be calculated via an iterative procedure that begins with the 2SLS estimator. The conventional derivations of the 2SLS estimator are also reviewed.

Suggested Citation

  • Stephen Pollock, 2007. "Estimation of structural econometric equations (in Russian)," Quantile, Quantile, issue 2, pages 49-59, March.
    • Handle: RePEc:qnt:quantl:y:2007:i:2:p:49-59
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    References listed on IDEAS

    as
    1. Anderson, T.W., 2005. "Origins of the limited information maximum likelihood and two-stage least squares estimators," Journal of Econometrics, Elsevier, vol. 127(1), pages 1-16, July.
    2. Pollock, D S G, 1983. "Varieties of the LIML Estimator," Australian Economic Papers, Wiley Blackwell, vol. 22(41), pages 499-506, December.
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