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Journal of the Italian Statistical Society

, Volume 1, Issue 2, pp 275–286 | Cite as

Simultaneous equations with random coefficients: Estimating the structural form

  • Silvia Terzi
Article
  • 50 Downloads

Summary

For a system ofG simultaneous equations and a time series of cross sectional data we estimate the structural form under the assumption that the regression coefficients are random variables. In particular, given the model:
$${}_iYT + {}_iX{}_i\Delta + {}_iE = 0 i = 1,...,n$$
to account for differences in behaviour over the cross sectional units we assume that the coefficient matrices of the exogenous variables for each unit, that is{ i Δ|, form a sequence of independent random variables with common mean\(\bar \Delta \) to be estimated. We derive feasible two stage generalized least squares estimators of the parameters Γ and\(\bar \Delta \).

Keywords

panel data random coefficients simultaneous equations 

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Copyright information

© Societa Italiana di Statistica 1992

Authors and Affiliations

  • Silvia Terzi
    • 1
  1. 1.Università degli Studi “La Sapienza”Roma

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