Efficient Estimation of Simultaneous Equations with Auto-Regressive Errors by Instrumental Variables

1972 ◽  
Vol 54 (4) ◽  
pp. 444 ◽  
Author(s):  
Ray C. Fair
Keyword(s):  
Instrumental Variables ◽  
Simultaneous Equations ◽  
Efficient Estimation ◽  
Auto Regressive

OPTIMAL INFERENCE WITH MANY INSTRUMENTS

2002 ◽  
Vol 18 (1) ◽  
pp. 140-168 ◽  
Author(s):  
Jinyong Hahn
Keyword(s):  
Sample Size ◽  
Asymptotic Distribution ◽  
Instrumental Variables ◽  
Asymptotic Approximation ◽  
Simultaneous Equations ◽  
Convolution Theorem ◽  
Structural Parameter ◽  
Simultaneous Equations Model ◽  
Many Instruments ◽  
Bayesian Estimators

In this paper, I derive the efficiency bound of the structural parameter in a linear simultaneous equations model with many instruments. The bound is derived by applying a convolution theorem to Bekker's (1994, Econometrica 62, 657–681) asymptotic approximation, where the number of instruments grows to infinity at the same rate as the sample size. Usual instrumental variables estimators with a small number of instruments are heuristically argued to be efficient estimators in the sense that their asymptotic distribution is minimal. Bayesian estimators based on parameter orthogonalization are heuristically argued to be inefficient.

scholarly journals Instrumental Variables Estimation of Systems of Simultaneous Equations: Interrelation of Methods

2019 ◽  
Vol 8 ◽  
pp. 797-802
Author(s):  
Lyudmila O. Babeshko ◽  
Vera V. Ioudina ◽  
Maria Y. Mikhaleva ◽  
Irina V. Orlova ◽  
Keyword(s):  
Instrumental Variables ◽  
Simultaneous Equations ◽  
Instrumental Variables Estimation
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