Journal of the Korean Statistical Society

  • 제8권2호
  • /
  • Pages.117-123
  • /
  • 1979
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

A Linear and Consistent Class of Econometric Estimators in Simultaneous Equations

  • Srivastava, V.K. (Reader, Department of Statistics, Lucknow University, India) ;
  • Dwivedi, T.D. (Director, Research Center, Department of Mathematics, Concordia University, Montreal, Canada) ;
  • Agnihotri, B.S. (Lecturer in Statistics, D.A.V. College, Lucknow, India)
  • 발행 : 1979.12.01
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초록

Striaght-forward application of the ordinary least squares model for estimating the parameters of a simultaneous linear stochastic equations model does not provide consistent estimators due to the fact that the explanatory jointly dependent variables are correlated with the disturbances. The search for consistent estimators during the last three decades has yielded a variety of estimators which can be broadly classified into two groups, namely, limited information and full information. Both the groups fails to uilize the over-identifying restrictions in the structural equations except the one under study while the latter group succeeds; see, e.g. Srivastava(1978) for a brief review and Theil (1961) for a detail description.

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참고문헌

  1. International Economic Review On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation Amemiya,T.
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  6. International Economic Review The Choice of Instrumental Variables in the Estimation of Economy-Wide Econometric Models;Some Further Thoughts Mitchell,B.;F.M.Fisher
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