Naturally constrained reduced form and stuctural parameters estimation
Balestra, Pietro ; PICHERY, Marie-Claude
HAL, hal-01526537 / Harvested from HAL
Text on HAL
To characterize such a situation, we introduce the concept of a "natural constraint", which is presented and discussed is section 1 of the present paper. Section 2 is concerned with the efficient estimation of the naturally constrained reduced form. From it, we derive efficient estimators of the structural parameters (by indirect GLS) and propose a simple test of the a priori restrictions. In section 3 we discuss estimation by 2SLS. In addition to the resultsobtained by Turkington and Pesaran, we develop a 2SLS-GLS estimator and assess its asymptotic properties. Several full information estimatorsof the 3SLS type are presented and compared in section 4 and some efficiency aspects of the instrumental variable method are studied. Finally,the major findings of this paper are summarized in section 5.
Publié le : 1988-07-04
Classification:  Simultaneous equation system,  Statistical estimation,  Parameter estimation,  Regression model,  Least squares method,  Regression,  Triple moindre carré,  Système équation simultanée,  Méthode moindre carré,  Modèle régression,  Estimation statistique,  Estimation paramètre,  Double moindre carré,  [MATH]Mathematics [math] 
@article{hal-01526537,
     author = {Balestra, Pietro and PICHERY, Marie-Claude},
     title = {Naturally constrained reduced form and stuctural parameters estimation},
     journal = {HAL},
     volume = {1988},
     number = {0},
     year = {1988},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01526537}
}

Balestra, Pietro; PICHERY, Marie-Claude. Naturally constrained reduced form and stuctural parameters estimation. HAL, Tome 1988 (1988) no. 0, . http://gdmltest.u-ga.fr/item/hal-01526537/