Characterisation of k-Class estimation in simultaneous equation models

Weak/Invalid Instruments in Simultaneous Equation Models: Detection and Estimation

This note is a resume of Jerry Hausman’s Nake course at the NAKE workshop in Den Haag, The Netherlands in June 2002. It presents an intuitive framework in which the impact of weak/invalid instruments on properties of di¤erent estimators can be analyzed while also suggesting a test to detect the presence of weak/invalid instruments.

Estimation of simultaneous equation models with error components structure

Preparing the books to read every day is enjoyable for many people. However, there are still many people who also don't like reading. This is a problem. But, when you can support others to start reading, it will be better. One of the books that can be recommended for new readers is estimation of simultaneous equation models with error components structure lecture notes in economics and mathemat...

Errors in Variables in Simultaneous Equation Models

Optimal Significance Tests in Simultaneous Equation Models∗

Consider testing the null hypothesis that a single structural equation has specified coefficients. The alternative hypothesis is that the relevant part of the reduced form matrix has proper rank, that is, that the equation is identified. The usual linear model with normal disturbances is invariant with respect to linear transformations of the endogenous and of the exogenous variables. When the ...

Admissible Significance Tests in Simultaneous Equation Models ∗

Consider testing the null hypothesis that a single structural equation has specified coefficients. The alternative hypothesis is that the relevant part of the reduced form matrix has proper rank, that is, that the equation is identified. The usual linear model with normal disturbances is invariant with respect to linear transformations of the endogenous and of the exogenous variables. When the ...