A Note on the Estimation of Simultaneous Equations with Error Components
- 1 March 1992
- journal article
- miscellanea
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 8 (01), 113-119
- https://doi.org/10.1017/s0266466600010768
Abstract
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.Keywords
This publication has 8 references indexed in Scilit:
- A Macroeconometric Model for Developing CountriesStaff Papers, 1990
- Efficient Estimation Using Panel DataEconometrica, 1989
- Estimation of Simultaneous Equation Models with Error Components StructurePublished by Springer Science and Business Media LLC ,1988
- Full Information Estimations of a System of Simultaneous Equations with Error Component StructureEconometric Theory, 1987
- Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error ComponentsInternational Economic Review, 1985
- Multivariate error components analysis of linear and nonlinear regression models by maximum likelihoodJournal of Econometrics, 1982
- Simultaneous equations with error componentsJournal of Econometrics, 1981
- On Seemingly Unrelated Regressions with Error ComponentsEconometrica, 1980