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Simultaneous Equations with Three Way Error Components

Marius Amba ()

Journal of Quantitative Economics, 2021, vol. 19, issue 3, No 8, 583-596

Abstract: Abstract This paper derives limited and full information estimators for structural parameters of a simultaneous equations model with three-way error components for balanced panels. The model consists in a finite number of equations that incorporates three dimensions: area, individual and time. Monte Carlo experiments illustrate the gain in efficiency by performing their estimators rather than the existing procedures for simultaneous one-way and simultaneous two-way error components.

Keywords: Panel data; Simultaneous equations; Three-way error components (search for similar items in EconPapers)
JEL-codes: C13 C36 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s40953-021-00236-0

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