Abstract
Dr. Hans Theil of the Netherlands School of Economics, Rotterdam, has recently proposed a new method of estimating the coefficients of a single equation in a system of simultaneous linear equations, and has shown how this method is a member of a general class of estimators, of which the least squares and limited information estimators are also members (Theil, 1953). Since Dr. Their’s work is not likely to become generally available for some time, it seems worthwhile to summarize it for those who are currently interested in the field of estimation of simultaneous linear equations. At the same time the notation has been changed to correspond fairly closely to that of Cowles Commission Monograph 14 (Hood and Koopmans, 1953).
This paper first appeared as an unpublished discussion paper of the Co wies Commission (Statistics No. 385), May 28, 1954. Reprinted with the permission of Dr. R. Radner, Distinguished Member of Technical Staff, AT&T Bell Laboratories, and Research Professor of Economics, New York University.
Editors’ Note: This paper is primarily of historical interest in that it provides a fascinating glimpse into the history of econometrics, especially regarding computing technology in the 1950’s and the role played by two stage least squares (2SLS) for empirical implementation of the methods. The paper has been only slightly edited to correct errors and ommissions. The assistance of Professor Adolf Buse and Professor Peter Kennedy in reviewing the paper is gratefully acknowledged.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Theil, H.: 1953, “Estimation and Simultaneous Correlation in Complete Equation Systems,” Central Plan-Bureau, The Hague, June 23 (mimeographed). See also a paper to appear in the proceedings of the 28th International Statistical Institute in Rome.
Hood, W.C. and T.C. Koopmans: 1953, eds., Studies in Econometric Method, (especially chap. VI), Wiley, New York.
Aitken, A.C.: 1934-35, “On Least Squares and Linear Combination of Observations,” Proc. Roy. Soc. of Edinburgh, 55, 42.
Girshick, M.A. and T. Haavelmo: 1947, “Statistical Analysis of the Demand for Food,” Econometrica, 15, 79–109.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1992 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Radner, R., Bobkoski, F. (1992). Some Recent Work of H. Theil on Estimation in Systems of Simultaneous Equations. In: Raj, B., Koerts, J. (eds) Henri Theil’s Contributions to Economics and Econometrics. Advanced Studies in Theoretical and Applied Econometrics, vol 23. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-2546-8_8
Download citation
DOI: https://doi.org/10.1007/978-94-011-2546-8_8
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-5124-8
Online ISBN: 978-94-011-2546-8
eBook Packages: Springer Book Archive