Estimation of structural econometric equations (in Russian)

Quantile, 2007, issue 2, 49-59

Abstract: Derivations are offered for the LIML and the 2SLS estimators of single equations of the classical econometric simultaneous-equation system that differ from the usual ones. By assimilating both estimators to the method of moments, their essential similarities are highlighted. The LIML estimator is derived from a least-squares criterion that exploits the interpretation of the structural equation as an error-in-variables model, and the 2SLS estimator is obtained by an approximation that is asymptotically valid. The LIML estimator may be calculated via an iterative procedure that begins with the 2SLS estimator. The conventional derivations of the 2SLS estimator are also reviewed.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://quantile.ru/02/02-SP.pdf (application/pdf)

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:qnt:quantl:y:2007:i:2:p:49-59

Access Statistics for this article

Quantile is currently edited by Stanislav Anatolyev

More articles in Quantile from Quantile
Bibliographic data for series maintained by Stanislav Anatolyev ().