Abstract
The different panel data models discussed in the preceding chapters, consisted of only one regression equation. However, in many situations, due to the interdependence of economic variables, it may be more appropriate to represent economic phenomena by a system of simultaneous equations. For instance, it is the ideal choice for modelling supply and demand in one or several markets, for modelling the demand for factors of production by firms (using the first order conditions of profit maximisation) and obviously for representing a whole macro-economic system. Other examples can also be found in areas like finance, marketing and so on.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Magnus, J.R. [1982]: Multivariate Error Components Analysis of Linear and Non-Linear Regression Models by Maximum Likelihood, Journal of Econometrics, 19, 239–285.
Nagar, A.L. [1959]: The Bias and Moment Matrix of the General k-class Estimators of the Parameters in Simultaneous Equations, Econometrica, 27, 575–595.
Nerlove, M. [1971]: A Note on Error Components Models, Econometrica, 39, 383–396.
Pagan, A. [1979]: Some Consequences of Viewing LIML as an Iterated Aitken Estimator, Economics Letters, 3, 369–372.
Phillips, P.C.B. [1982]: Small Sample Distribution Theory in Econometric Models of Simultaneous Equations, Cowles Foundation Discussion Paper No. 617, Yale University.
Prucha, I.R. [1984]: On the Asymptotic Efficiency of Feasible Aitken Estimator for Seemingly Unrelated Regression Models with Error Components, Econometrica, 52, 203–207.
Prucha, I.R. [1985]: Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components, International Economic Review, 26, 491–506.
Rothenberg, T.J. [1971]: Identification in Parametric Models, Econometrica, 39, 577–592.
Swamy, P.A.V.B. and S.S. Arora [1972]: The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models, Econometrica, 40, 261–275.
Theil, H. [1971]: Principles of Econometrics. North-Holland Publishing Company, Amsterdam.
Zellner, A. and H. Theil [1962]: Three Stage Least Squares: Simultaneous Estimation of Simultaneous Equations, Econometrica, 30, 54–78.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1992 Kluwer Academic Publishers
About this chapter
Cite this chapter
Krishnakumar, J. (1992). Simultaneous Equations. In: Mátyás, L., Sevestre, P. (eds) The Econometrics of Panel Data. Advanced Studies in Theoretical and Applied Econometrics, vol 28. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-0375-3_7
Download citation
DOI: https://doi.org/10.1007/978-94-009-0375-3_7
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-6655-6
Online ISBN: 978-94-009-0375-3
eBook Packages: Springer Book Archive