Estimation of M-equation Linear Models Subject to a Constraint on the Endogenous Variables

by Charles Stockton Roehrig

Overview

Originally published in 1984. This book brings together a reasonably complete set of results regarding the use of Constraint Item estimation procedures under the assumption of accurate specification. The analysis covers the case of all explanatory variables being non-stochastic as well as the case of identified simultaneous equations, with error terms known and unknown. Particular emphasis is given to the derivation of criteria for choosing the Constraint Item. Part 1 looks at the best CI estimators and Part 2 examines equation by equation estimation, considering forecasting accuracy.

Product Details

ISBN-13:	9780815350309
Publisher:	Taylor & Francis
Publication date:	03/06/2018
Series:	Routledge Library Editions: Econometrics , #13
Pages:	150
Product dimensions:	6.12(w) x 9.19(h) x (d)

Table of Contents

Preface Part 1: "Best" Estimation Techniques 1. A Detailed Description of the Model 2. All Explanatory Variables Non-Stochastic, Ω Known 3. All Explanatory Variables Non-Stochastic, Ω Unknown 4. Simultaneous Equations Part 2: Equation by Equation Estimation 5. A Simple Three Equation Model 6. Extension to M Equations 7. Summary and Conclusions