Download This PaperGeneralization of Indirect Least Squares to Estimation of Structural Equations of a Multi-Equation Linear Econometric Model
5 Pages Posted: 30 Apr 2004
Date Written: April 25, 2004
Abstract
This paper generalizes the method of Indirect Least Squares (ILS) and shows that such a generalization, call it the Generalized Indirect Least Squares (GILS), yields Two-Stage Least Squares (2-SLS) under the zero restriction on some structural coefficients characterizing over-identification.
Keywords: Indirect Least Squares, ILS, Generalized, GILS, Two-Stage Least Squares, Identification
JEL Classification: C13, C30
Suggested Citation: Suggested Citation
Mishra, Sudhanshu K., Generalization of Indirect Least Squares to Estimation of Structural Equations of a Multi-Equation Linear Econometric Model (April 25, 2004). Available at SSRN: https://ssrn.com/abstract=535262 or http://dx.doi.org/10.2139/ssrn.535262
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