The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1986, Volume 54, Issue 4
https://doi.org/0012-9682(198607)54:4<869:IEOAEM>2.0.CO;2-6
p. 869-880
Takeshi Amemiya, Thomas E. MaCurdy
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.
