Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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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)
  • Published : 1979.12.01
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Abstract

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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References

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