EconPapers    
Economics at your fingertips  
 

Method‐of‐moment view of linear simultaneous equation systems

Myoung-jae Lee

Statistica Neerlandica, 2008, vol. 62, issue 2, 230-238

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.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1467-9574.2007.00383.x

Related works:
Working Paper: Method-of-Moment View of Linear Simultaneous Equation Systems (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:62:y:2008:i:2:p:230-238

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by P. H. Franses

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-07-05
Handle: RePEc:bla:stanee:v:62:y:2008:i:2:p:230-238