The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors
نویسنده
چکیده
In this paper various methods for the estimation of simultaneous equation models with lagged endogenow variables and List order s&fly correlated errors are discussed. The m.&ods dilfer in tbe number of instrumental variables used. The asymptotic and small sample properties of the various metlmds are compared, and the variables which must be included as insuuments to insure consistent estimates are derived. A suggestion on how to estimate the approximate eovariance matrix of the estimators is made.
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