Efficient Estimation of a Dynamic Error-Shock Model
University of Southern California - Department of Economics; National Taiwan University; National Bureau of Economic Research (NBER)
Peter M. Robinson
London School of Economics & Political Science (LSE) - Department of Economics; National Bureau of Economic Research (NBER)
NBER Working Paper No. w0157
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 .
Number of Pages in PDF File: 26working papers series
Date posted: April 12, 2004
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