Hostname: page-component-7479d7b7d-m9pkr Total loading time: 0 Render date: 2024-07-11T10:26:04.474Z Has data issue: false hasContentIssue false
  • English
  • Français

Full Information Estimations of a System of Simultaneous Equations with Error Component Structure

Published online by Cambridge University Press:  11 February 2009

Pietro Balestra  and
Jayalakshmi Varadharajan-Krishnakumar
Pietro Balestra
Affiliation:
University of Geneva
Jayalakshmi Varadharajan-Krishnakumar
Affiliation:
University of Geneva
Get access Rights & Permissions [Opens in a new window]

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.

Type
Articles
Information
Econometric Theory , Volume 3 , Issue 2 , April 1987 , pp. 223 - 246
Copyright
Copyright © Cambridge University Press 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

1.Amemiya, T.The estimation of variances in a variance-components model. International Economic Review 12 (1971): 1–13.CrossRefGoogle Scholar
2.Avery, R.B.Error components and seemingly unrelated regressions. Econometrica 45 (1977): 199–209.CrossRefGoogle Scholar
3.Balestra, P. La dérivation matrcielle. Collection de l'Institut de mathématiques économiques de Dijon 12. Sirey, Paris, 1983.Google Scholar
4.Balestra, P. Determinant and inverse of a sum of matrices with applications in economics and statistics. Document de travail 24. Institut de mathématiques économiques de Dijon, France, 1978.Google Scholar
5.Balestra, P. & Nerlove, M.. Pooling cross-section and time-series data in the estimation of a dynamic model: The demand for natural gas. Econometrica 34 (1966): 585–612.CrossRefGoogle Scholar
6.Baltagi, B.H.On seemingly unrelated regressions with error components. Econometrica 48 (1980): 1547–1551.CrossRefGoogle Scholar
7.Baltagi, B.H.Simultaneous equations with error components. Journal of Econometrics 17 (1981): 189–200.CrossRefGoogle Scholar
8.Don, F.J.H.The use of generalized inverses in restricted maximum likelihood. Linear Algebra and its Applications, Vol. 70 (1985).Google Scholar
9.Don, F.J.H. & Magnus, J.R.. On the unbiasedness of iterated GLS estimators. Communications in Statistics A9(5) (1980): 519–527.Google Scholar
10.Henderson, H.V. & Searle, S.R.. Vec and vech operators for matrices, with some uses in Jacobians and multivariate statistics. The Canadian Journal of Statistics 7(1) (1979): 65–81.CrossRefGoogle Scholar
11.Hendry, D.F.The structure of simultaneous equation estimators. Journal of Econometrics 4 (1976): 51–88.CrossRefGoogle Scholar
12.Magnus, J.R.Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood. Journal of Econometrics 19 (1982): 239–285.CrossRefGoogle Scholar
13.Magnus, J.R.Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix. Journal of Econometrics 7 (1978): 281–312.CrossRefGoogle Scholar
14.Magnus, J.R. & Neudecker, H.. The elimination matrix: Some theorems and applications. SIAM Journal on Algebraic and Discrete Methods 1 (1980): 422–449.CrossRefGoogle Scholar
15.Oberhofer, W. & Kmenta, J.. A general procedure for obtaining maximum likelihood estimates in generalized regression models. Economethca 42 (1974): 579–590.CrossRefGoogle Scholar
16.Pollock, D.S.G.The algebra of econometrics. New York: Wiley, 1979.Google Scholar
17.Prucha, I.R.On the asymptotic efficiency of feasible Aitken estimator for seemingly unrelated regression models with error components. Econometrica 52 (1984): 203–207.CrossRefGoogle Scholar
18.Prucha, I.R.Maximum likelihood and instrumental variable estimation in simultaneous equation systems with error components. International Economic Review, 26(2) (1985): 491–506.CrossRefGoogle Scholar
19.Varadharajan, J. Estimation of simultaneous linear equation models with error component structure. Cahiers du Dipartement d'économétrie 81.06. Université de Genève, Switzerland, 1981.Google Scholar
20.Wallace, T.D. & Hussain, A.. The use of error components models in combining cross- section with time-series data. Econometrica 37 (1969): 55–72.CrossRefGoogle Scholar