Efficient Estimation of a Dynamic Error-Shock Model

Cheng Hsiao and Peter Robinson

No 157, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary disturbances under the assumption that the variables are subject to random measurement errors. The conditions under which the parameters are identified are stated. An asymptotically efficient frequency-domain class of instrumental variables estimators is suggested. The procedure consists of two basic steps. The first step transforms the model in such a way that the observed exogenous variables are asymptotically orthogonal to the residual terms. The second step involves an iterative procedure like that of Robinson [13].

Date: 1976-11
Note: IO
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Published as Hsiao, C. and P. M. Robinson. "Efficient Estimation Of A Dynamic Error-Shock Model," International Economic Review, 1978, v19(2), 467-480.

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Journal Article: Efficient Estimation of a Dynamic Error-Shock Model (1978)
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