EconPapers    
Economics at your fingertips  
 

A Note on the Estimation of Simultaneous Equations with Error Components

Badi Baltagi and Qi Li

Econometric Theory, 1992, vol. 8, issue 1, 113-119

Abstract: Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In addition this paper shows that for the single equation case the extra set of instruments is redundant and both EC2SLS and G2SLS have the same asymptotic variance-covariance matrix. However, for the system of equations, it can be shown that EC3SLS is asymptotically more efficient than G3SLS.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
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:cup:etheor:v:8:y:1992:i:01:p:113-119_01

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing (csjnls@cambridge.org).

 
Page updated 2024-12-07
Handle: RePEc:cup:etheor:v:8:y:1992:i:01:p:113-119_01