Full Information Estimations of a System of Simultaneous Equations with Error Component Structure
- 1 April 1987
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 3 (2), 223-246
- https://doi.org/10.1017/s0266466600010318
Abstract
In this paper we develop full information methods for estimating the parameters of a system of simultaneous equations with error component structure and establish relationships between the various structural estimators.Keywords
This publication has 16 references indexed in Scilit:
- The use of generalized inverses in restricted maximum likelihoodLinear Algebra and its Applications, 1985
- Simultaneous equations with error componentsJournal of Econometrics, 1981
- The Elimination Matrix: Some Lemmas and ApplicationsSIAM Journal on Algebraic Discrete Methods, 1980
- On Seemingly Unrelated Regressions with Error ComponentsEconometrica, 1980
- On the unbiasedness of iterated gls estimatorsCommunications in Statistics - Theory and Methods, 1980
- Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrixJournal of Econometrics, 1978
- The structure of simultaneous equations estimatorsJournal of Econometrics, 1976
- A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression ModelsEconometrica, 1974
- The Use of Error Components Models in Combining Cross Section with Time Series DataEconometrica, 1969
- Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural GasEconometrica, 1966