Simultaneous Equations Estimation (The International Library of Critical Writings in Econometrics Series 3)

Simultaneous Equations Estimation (The International Library of Critical Writings in Econometrics Series 3)

By: Carl F. Christ (editor)Hardback

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Description

This volume comprises the classic articles on methods of identification and estimation of simultaneous equations econometric models. It includes path-breaking contributions by Trygve Haavelmo and Tjalling Koopmans, who founded the subject and received Nobel prizes for their work. It presents original articles that developed and analysed the leading methods for estimating the parameters of simultaneous equations systems: instrumental variables, indirect least squares, generalized least squares, two-stage and three-stage least squares, and maximum likelihood. Many of the articles are not readily accessible to readers in any other form.

About Author

Edited by Carl F. Christ, Professor of Economics, Johns Hopkins University, US

Contents

The nature and use of simultaneous equations models; theoretical restrictions and the identifiability of parameters in econometric models; estimation methods of the Cowles Commission; generalized least squares and two-stage least squares; instrumental variables; three-stage least squares and related methods; autocorrelated disturbances; relations among estimation methods.

Product Details

  • ISBN13: 9781852786618
  • Format: Hardback
  • Number Of Pages: 560
  • ID: 9781852786618
  • ISBN10: 1852786612

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