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Naturally constrained reduced form and stuctural parameters estimation

Authors
  • Balestra, Pietro
  • PICHERY, Marie-Claude
Publication Date
Jan 01, 1988
Source
HAL-UPMC
Keywords
Language
English
License
Unknown
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Abstract

To characterize such a situation, we introduce the concept of a "natural constraint", which is presented and discussed is section 1 of the present paper. Section 2 is concerned with the efficient estimation of the naturally constrained reduced form. From it, we derive efficient estimators of the structural parameters (by indirect GLS) and propose a simple test of the a priori restrictions. In section 3 we discuss estimation by 2SLS. In addition to the resultsobtained by Turkington and Pesaran, we develop a 2SLS-GLS estimator and assess its asymptotic properties. Several full information estimatorsof the 3SLS type are presented and compared in section 4 and some efficiency aspects of the instrumental variable method are studied. Finally,the major findings of this paper are summarized in section 5.

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