Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

Working Paper Department of Economics Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions

This article is concerned with identification problem of parameters of Dynamic Stochastic General Equilibrium Models with emphasis on structural constraints, so that the number of observable variables is equal to the number of exogenous variables. We derived a set of identifiability conditions and suggested a procedure for a thorough analysis of identification at each point in the parameters sp...

Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation

Necessary and sufficient conditions for Identlflability with linear coefficient and covarlance restrictions are developed. In practical terms, covarlance restrictions aid identification if and only if they imply either that (1) a set of endogenous variables is predetermined in a particular equation (generalizing the notion of recursiveness) or (11) an identifiable residual is predetermined in a...

Estimation of simultaneous equation models with error components structure

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Weak/Invalid Instruments in Simultaneous Equation Models: Detection and Estimation

This note is a resume of Jerry Hausman’s Nake course at the NAKE workshop in Den Haag, The Netherlands in June 2002. It presents an intuitive framework in which the impact of weak/invalid instruments on properties of di¤erent estimators can be analyzed while also suggesting a test to detect the presence of weak/invalid instruments.