Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

49 Pages Posted: 15 Feb 2001 Last revised: 11 Dec 2022

See all articles by Christian Gourieroux

Christian Gourieroux

University of Toronto - Department of Economics; Center for Interuniversity Research and Analysis on Organization (CIRANO); Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE); National Bureau of Economic Research (NBER)

Jean-Jacques Laffont

University of Southern California - Department of Economics (Deceased)

Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST); National Bureau of Economic Research (NBER); Maastricht University

Date Written: May 1979

Abstract

In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and probit (Amemiya, Schmidt) and multi-market macroeconomic disequilibrium (Gourieroux, Laffont and Nonfort).

Suggested Citation

Gourieroux, Christian and Laffont, Jean-Jacques and Monfort, Alain, Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes (May 1979). NBER Working Paper No. w0343, Available at SSRN: https://ssrn.com/abstract=260519

Christian Gourieroux (Contact Author)

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Jean-Jacques Laffont

University of Southern California - Department of Economics (Deceased)

Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) ( email )

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