Econometrica: Apr, 1966, Volume 34, Issue 2

Specification Analysis in the Estimation of Parameters of a Simultaneous Equation Model with Autoregressive Residuals

https://doi.org/0012-9682(196604)34:2<283:SAITEO>2.0.CO;2-D
p. 283-306

Takeshi Amemiya

Several related estimators of the parameters of a single equation of a simultaneous equation model are proposed. They are shown to be consistent and asymptotically efficient when the residual of the equation follows the first-order autoregressive process. One of these estimators, called MS2SLS, is designed to be consistent under a more general assumption about the stochastic process of the residual. A numerical analysis shows that the efficiency of MS2SLS is much higher than that of 2SLS under a general assumption about the stochastic process of the residual.