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Simultaneous Estimation Methods for Large- and Medium-size Econometric Models

G. S. Maddala
Review of Economic Studies 1971 38(4), 435
Journal Article Simultaneous Estimation Methods for Large- and Medium-size Econometric Models Get access G. S. Maddala G. S. Maddala University of Rochester Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 38, Issue 4, October 1971, Pages 435–445, https://doi.org/10.2307/2296688 Published: 01 October 1971

Weak Priors and Sharp Posteriors in Simultaneous Equation Models

G. S. Maddala
Econometrica 1976 44(2), 345
[One should be very careful in using the "non-informative" priors suggested in the Bayesian econometric literature for the covariance matrix of residuals in simultaneous equations models. To highlight the inadequacies of the prior, this paper shows that the prior leads to sharp posterior distributions even in under identified models. Similar problems also arise with the 2SLS method, but one can apply tests for underidentification. Something similar has to be done in the Bayesian context.]

Generalized Least Squares with an Estimated Variance Covariance Matrix

G. S. Maddala
Econometrica 1971 39(1), 23
[The paper discusses why certain commonly used two-step procedures give estimators which are asymptotically less efficient than the maximum likelihood estimator when there are lagged dependent variables among the regressors. This sort of problem is often encountered in the estimation of distributed lag models with serial correlation in the residuals.]

The Use of Variance Components Models in Pooling Cross Section and Time Series Data

G. S. Maddala
Econometrica 1971 39(2), 341
The paper argues that variance components models are very useful in pooling cross section and time series data because they enable us to extract some information about the regression parameters from the between group and between time-period variation-a source that is often completely eliminated in the commonly used dummy variable techniques. The paper studies the applicability and usefulness of the maximum likelihood method and analysis of covariance techniques in the analysis of this type of model, particularly when one of the covariates used is a lagged dependent variable.

A Perspective on the Use of Limited-Dependent and Qualitative Variables Models in Accounting Research.

G. S. Maddala
The Accounting Review 1991 66(4), 788-807
Reviews the methodology of models involving qualitative and limited-dependent variables and their application in accounting research. Logit and probit models and discriminant analysis; Tobit model and the truncated regression model; Models involving sample selection bias; Models involving self-selectivity; Prediction of the effects of mandated accounting changes.