This paper proposes efficient instrumental-variable estimators for an error-components model considering alternative assumptions about the sources of endogeneity and the variance-covariance properties of disturbances. The analysis develops a general result that provides for the construction of asymptotically efficient estimators when there exist variables that are predetermined for only a subset of the equations making up a structural model.
MLA
Amemiya, Takeshi, and Thomas E. MaCurdy. “Instrumental-Variable Estimation of an Error-Components Model.” Econometrica, vol. 54, .no 4, Econometric Society, 1986, pp. 869-880, https://www.jstor.org/stable/1912840
Chicago
Amemiya, Takeshi, and Thomas E. MaCurdy. “Instrumental-Variable Estimation of an Error-Components Model.” Econometrica, 54, .no 4, (Econometric Society: 1986), 869-880. https://www.jstor.org/stable/1912840
APA
Amemiya, T., & MaCurdy, T. E. (1986). Instrumental-Variable Estimation of an Error-Components Model. Econometrica, 54(4), 869-880. https://www.jstor.org/stable/1912840
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