To make high-quality research more accessible and easier to explore.

Fields:

A Comparison of Alternative Estimators for Simultaneous Equations

Econometrica 1964 32(4), 532
A natural generalization of least squares is proposed to estimate parameters in simultaneous linear equations. Full-information maximum likelihood is shown to be identical with this generalization. The extent to which other estimators deviate from the generalization is discussed. A paradox of Strotz is resolved, and application of canonical correlation theory to structural equations is indicated. 1. SUMMARY THIS PAPER compares various estimators of the parameters of linear simultaneous