Econometrica Vol. 32 No. 4 1964
A Comparison of Alternative Estimators for Simultaneous Equations
Abstract
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
- DOI
- 10.2307/1910177
- Volume
- 32
- Issue
- 4
- Pages
- 532
- Sources
- openalex crossref