Method-of-Moment View of Linear Simultaneous Equation Systems

Myoung-jae Lee

No 719, Discussion Paper Series from Institute of Economic Research, Korea University

Abstract: In this paper, we review the modern method-of-moment-based approaches to identification and estimation of linear simultaneous equation systems. First, we present the rank condition for the structural form (SF) parameter identification. The rank condition comes naturally and is much easier to understand than that in the conventional reduced-form-based indirect approach. Then, we show how to estimate all SF parameters jointly (in a single step) with method-of-moment estimators. As it turns out, using only unconditional moments, but not any conditional moments, greatly simplifies the identification and estimation issues, and makes light work of conveying the essential ideas involved.

Keywords: methods of moments; linear simultaneous equations; system estimation (search for similar items in EconPapers)
Pages: 11 pages
Date: 2007
New Economics Papers: this item is included in nep-ecm
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Journal Article: Method‐of‐moment view of linear simultaneous equation systems (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:iek:wpaper:0719

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