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SIMULTANEOUS-EQUATIONS AND PANEL DATA
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DOI：10.1016/0304-4076(92)90033-N.png)
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摘要
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This paper considers a simultaneous equations model, with panel data and unobservable individual effects in each structural equation. The effects may be fixed or random. In the fixed effects case, a conditional likelihood approach leads to the within transformation, just as in the single equation setting. In the random effects case, we allow an arbitrary number of the exogenous variables to be correlated with the effects, and provide efficient GMM estimators along the lines of two-stage and three-stage least squares. The case of different instruments in different equation is also considered.
Keyword:
INSTRUMENTAL-VARIABLE ESTIMATION
3-STAGE LEAST-SQUARES
ERROR-COMPONENTS
EFFICIENT ESTIMATION
MAXIMUM-LIKELIHOOD
COVARIANCE
MODEL
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
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EFFICIENT ESTIMATION AND IDENTIFICATION OF SIMULTANEOUS EQUATION MODELS WITH COVARIANCE RESTRICTIONS.png)
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