Three important methods of estimating the reduced form are discussed. The first one is the covariance estimation, which consists in transforming each reduced form equation by the socalled covariance transformation (which eliminates the ...

Author: Jayalakshmi Krishnakumar

Publisher: Springer Science & Business Media

ISBN: 9783642456473

Category: Business & Economics

Page: 363

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Economists can rarely perform controlled experiments to generate data. Existing information in the form of real-life observations simply has to be utilized in the best possible way. Given this, it is advantageous to make use of the increasing availability and accessibility of combinations of time-series and cross-sectional data in the estimation of economic models. But such data call for a new methodology of estimation and hence for the development of new econometric models. This book proposes one such new model which introduces error components in a system of simultaneous equations to take into account the temporal and cross-sectional heterogeneity of panel data. After a substantial survey of panel data models, the newly proposed model is presented in detail and indirect estimations, full information and limited information estimations, and estimations with and without the assumption of normal distribution errors. These estimation methods are then applied using a computer to estimate a model of residential electricity demand using data on American households. The results are analysed both from an economic and from a statistical point of view.

Methodology Six alternative estimators are used for estimating the structural form parameters of the specified ... Moment Matrix of the General K - Class Estimators of the Parameters in Simultaneous Equations , " Econometrica , Vol .

Author: Samuel Galen Unger

Publisher:

ISBN: MSU:31293031772761

Category: Agricultural

Page: 412

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Author: A. L. Nagar

Publisher:

ISBN: OCLC:66093323

Category:

Page: 9

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Each equation that is part of a recursive system can be estimated separately using OLS. But in practice, not many systems of equations will be recursive, so a direct way to address the estimation of equations that are from a true ...

Author: Chris Brooks

Publisher: Cambridge University Press

ISBN: 9780521694681

Category: Business & Economics

Page: 672

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This best-selling introduction to econometrics is specifically written for finance students. The new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts.

In this case , estimating these equations as a set , using a single ( large ) regression , should improve efficiency . ... This is not of concern in the context of structural simultaneous equation estimation , because all estimators ...

Author: Peter Kennedy

Publisher: John Wiley & Sons

ISBN: 9781405182577

Category: Business & Economics

Page: 608

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This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course. Explains what is going on in textbooks full of proofs and formulas Offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts) Contains new chapters that cover instrumental variables and computational considerations Includes additional information on GMM, nonparametrics, and an introduction to wavelets

One of the standard methods for estimating a system of simultaneous equations is three-stage least squares (3SLS) and the investigation of CI estimation procedures will be based on this approach. In the present case it is assumed that Ω ...

Author: Charles Stockton Roehrig

Publisher: Routledge

ISBN: 9781351140508

Category: Business & Economics

Page: 96

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Originally published in 1984. This book brings together a reasonably complete set of results regarding the use of Constraint Item estimation procedures under the assumption of accurate specification. The analysis covers the case of all explanatory variables being non-stochastic as well as the case of identified simultaneous equations, with error terms known and unknown. Particular emphasis is given to the derivation of criteria for choosing the Constraint Item. Part 1 looks at the best CI estimators and Part 2 examines equation by equation estimation, considering forecasting accuracy.

Author: Robin Christopher Sickles

Publisher:

ISBN: OCLC:254605745

Category:

Page: 66

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When estimating a model in a competitive market, a simultaneous-equations model is necessary because the model includes demand, supply, and other equations. Therefore, the identification problem in the model plays an important role in ...

Author: Atsushi Maki

Publisher: Routledge

ISBN: 9781136885013

Category: Business & Economics

Page: 190

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The book's comprehensive coverage on the application of econometric methods to empirical analysis of economic issues is impressive. It uncovers the missing link between textbooks on economic theory and econometrics and highlights the powerful connection between economic theory and empirical analysis perfectly through examples on rigorous experimental design. The use of data sets for estimation derived with the Monte Carlo method helps facilitate the understanding of the role of hypothesis testing applied to economic models. Topics covered in the book are: consumer behavior, producer behavior, market equilibrium, macroeconomic models, qualitative-response models, panel data analysis and time-series analysis. Key econometric models are introduced, specified, estimated and evaluated. The treatment on methods of estimation in econometrics and the discipline of hypothesis testing makes it a must-have for graduate students of economics and econometrics and aids their understanding on how to estimate economic models and evaluate the results in terms of policy implications.

This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors.

Author: Guido Imbens

Publisher:

ISBN: UCSC:32106016457092

Category: Econometric models

Page: 60

View: 623

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This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors. We allow for non-additive errors because the unobserved heterogeneity in marginal returns that often motivates concerns about endogeneity of choices requires objective functions that are non-additive in observed and unobserved components. We formulate several independence and monotonicity conditions that are sufficient for identification of a number of objects of interest, including the average conditional response, the average structural function, as well as the full structural response function. For inference we propose a two-step series estimator. The first step consists of estimating the conditional distribution of the endogenous regressor given the instrument. In the second step the estimated conditional distribution function is used as a regressor in a nonlinear control function approach. We establish rates of convergence, asymptotic normality, and give a consistent asymptotic variance estimator.

7 Efficient Estimation of Nonlinear Simultaneous Equations with Additive Disturbances Dale W. Jorgenson and Jean - Jacques Laffont This chapter develops a theory of CUAN estimation for systems of nonlinear simultaneous equations with ...

Author: Dale Weldeau Jorgenson

Publisher: MIT Press

ISBN: 0262100827

Category: Business & Economics

Page: 594

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This volume summarizes the economic theory, the econometric methodology and the empirical findings resulting from the new approach to econometric modelling of producer behaviour.