Skip to main content Accessibility help
×
Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-06T05:26:20.729Z Has data issue: false hasContentIssue false

1 - Efficient instrumental variables estimation of systems of implicit heterogeneous nonlinear dynamic equations with nonspherical errors

Published online by Cambridge University Press:  03 May 2010

William A. Barnett
Affiliation:
University of Texas, Austin
Halbert White
Affiliation:
University of California, San Diego
Get access

Summary

Introduction

First used by the zoologist Sewall Wright (1925), the method of instrumental variables (IVs) was initially given a formal development by Reiersøl (1941, 1945) and Geary (1949). It is now one of the most useful and widely applied estimation methods of modern econometrics. Major contributions to the early development of this method in econometrics are those of Theil (1953), Basmann (1957), and Sargan (1958) for systems of linear simultaneous equations with independent identically distributed (i.i.d.) errors. A major concern of this development was to make efficient use of the available instrumental variables by finding instrumental variables estimators that have minimal asymptotic variance.

This concern is also evident in the subsequent work of Zellner and Theil (1962), Brundy and Jorgenson (1974), and Sargan (1964), who consider contemporaneous correlation in linear systems; Sargan (1959), Amemiya (1966), Fair (1970), Hansen and Sargent (1982), and Hayashi and Sims (1983), who consider specific forms of serial correlation for errors of linear equations or systems of equations; and Amemiya (1983), Bowden and Turkington (1985), and White (1984, Chapter 7), who consider specific forms of heteroscedasticity. For systems of linear equations White (1984, Chapter 4; 1986) considers general forms of nonsphericality in an instrumental variables context. Investigation of the properties of instrumental variables estimators in nonlinear contexts was undertaken in seminal work by Amemiya (1974, 1977) for single equations and for systems of nonlinear equations with contemporaneous correlation.

Type
Chapter
Information
Dynamic Econometric Modeling
Proceedings of the Third International Symposium in Economic Theory and Econometrics
, pp. 3 - 26
Publisher: Cambridge University Press
Print publication year: 1988

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

Available formats
×