| Автор | Baltagi, Badi H. |
| Автор | Li, Qi |
| Дата выпуска | 1992 |
| dc.description | Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In addition this paper shows that for the single equation case the extra set of instruments is redundant and both EC2SLS and G2SLS have the same asymptotic variance-covariance matrix. However, for the system of equations, it can be shown that EC3SLS is asymptotically more efficient than G3SLS. |
| Формат | application.pdf |
| Издатель | Cambridge University Press |
| Копирайт | Copyright © Cambridge University Press 1992 |
| Название | A Note on the Estimation of Simultaneous Equations with Error Components |
| Тип | research-article |
| DOI | 10.1017/S0266466600010768 |
| Electronic ISSN | 1469-4360 |
| Print ISSN | 0266-4666 |
| Журнал | Econometric Theory |
| Том | 8 |
| Первая страница | 113 |
| Последняя страница | 119 |
| Аффилиация | Baltagi Badi H.; Texas A&M University |
| Аффилиация | Li Qi; University of Guelph |
| Выпуск | 1 |
