Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1981): Alternative estimates of the KleinI model.
There is a more recent version of this item available. 

PDF
MPRA_paper_23337.pdf Download (786Kb)  Preview 
Abstract
This work is mainly intended for applied econometricians and students interested in development and application of estimation methods for structural econometric models. For the KleinI model, detailed numerical tables of the parameters of the structural and restricted reduced form, of their covariance matrices and of the covariance matrices of the related disturbances, obtained by 8 different estimation methods, are displayed. The authors will welcome any comment, correction and additional results for this model.
Item Type:  MPRA Paper 

Original Title:  Alternative estimates of the KleinI model 
Language:  English 
Keywords:  Simulatenous equations; econometric model; KleinI; estimation methods; 2SLS; 3SLS; FIML; LIVE; IIV; FIVE 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation 
Item ID:  23337 
Depositing User:  Giorgio Calzolari 
Date Deposited:  17. Jun 2010 04:37 
Last Modified:  20. Feb 2013 14:44 
References:  Belsley,D.A. (1977), "On the Computational Competitiveness of FullInformatlon Maximum Likelihood and Three Stage Least Squares in the Estimation of Nonlinear, SimultaneousEquations Models". Boston College and NBER Computer Research Center, dlscussion paper. Belsley,D.A. (1979), "On the Computational Competitiveness of FullInformation MaximumLikelihood and ThreeStage LeastSquares in the Estimation of Nonlinear. SimultaneousEquations Models", Journal of Econometrics 9, 315342. Belsley,D.A. (1980), "On the Efficient Computation of the Nonlinear FullInformation MaximumLikelihood Estimator", Journal of Econometrics 14, 203225. Bergstroem,R. (1974), Studies in the Estimation of Interdependent Systems Especially the FlxPoint and Iterative Instrumental Variables Methods. University of Uppsala: Department of Statistlcs. Bianchi,C., G.Calzolari and P.Corsl (1979a), "A Note on the Numerical Results by Goldberger, Nagar and Odeh", Econometrica 47, 505506. Bianchi,C., G.Calzolari and P.Corsi (1979b), "On the Restricted Reduced Form of the KleinI Model". Pisa: IBM Technlcal Report G5133575. Brundy,J.M. and D.W.Jorgenson (1971), "Efficient Estimation of Simultaneous Equations by Instrumental Variables", The Review of Economics and Statistics 53, 207224. Brundy,J.M. and D.W.Jorgenson (1974), "The Relative Efficiency of Instrumental Variables Estimators of Systems of Simultaneous Equations", Annals of Economic and Social Measurement 3, 679700. Chapman,D.R. and R.C.Fair (1972), "FullInformatlon Maximum Likelihood Program: User's Guide". Princeton University: Econometric Research Program, Research Memorandum 137. Chernoff,H. and N.Divinsky (1953), "The Computation of MaximumLikelihood Estimates of Linear Structural Equations", in Studies in Econometric Method, ed. by W.C.Hood and T.C.Koopmans, Cowles Commission Monograph No.14. New York: John Wiley, 236302. Chow,G.C. (1968), "Two Methods of Computing FullInformation Maximum Likelihood Estimates in Simultaneous Stochastic Equations". International Economic Review 9, 100112. Goldberger.A.S. (1964), Econometric Theory. New York: John Wiley. Goldberger.A.S., A.L.Nagar and H.S.Odeh (1961) "The Covariance Matrices of ReducedForm Coefficients and of Forecasts for a Structural Econometric Model", Econometrica 29, 556513. Hausman,J.A. (1974), "Full Information Instrumental Variables Estimation of Simultaneous Equations Systems", Annals of Economic and Social Measurement 3, 641652. Hendry,D.F. (1969), "The Estimation of Complete Models with Errors Generated by a Vector Autoregressive Process", paper presented at the European Meeting of the Econometric Society. Hendry.D.F. (1971), "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process". International Economic Review 12, 257212. Klein,L.R. (1950), Economic Fluctuations in the United States, 19211941, Cowles Commission Monograph 1l. New York: John Wiley. Kloek,T. and L.B.M.Mennes (1960), "Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables", Econometrica 28, 4561. Maddala.G.S. (1977), Econometrics. New York: McGrawHill. Rothenberg.T.J. (1973). Efficient Estimation with A Priori Information, Cowles Foundation Monograph 23. New Haven: Yale Unlversity Press. Rothenberg,T.J. and C.T.Leenders (1964), "Efficient Estimation of Simultaneous Equation Systems", Econometrica 32, 5716. Seaks,T.G. (1974), "Simulations with Econometric Models and Alternative Methods of Estimation", Southern Economic Journal 41, 19. Theil,H. (1971), Principles of Econometrics. New York: John Wiley. Theil,H. and J.C.G.Boot (1962), "The Final Form of Econometric Equation Systems", Review of the lnternational Statistical Institute 30, 136152. Zellner,A. and H.Theil (1962), "ThreeStage Least Squares: Simultaneous Estimation of Simultaneous Equations", Econometrica 30, 5476. Zellner,A. and H.Theil (1970), "ThreeStage Least Squares: Simultaneous Estimation of Simultaneous Equations", in Selected Readings in Econometrics from Econometrica, ed. by J.W.Hooper and M.Nerlove. Cambridge, Massachusetts: The M.I.T. Press. Zellner,A. and H.Thornber (1966), "Computational Accuracy and Estimation of Simultaneous Equation Econometric Models", Econometrica 34, 727729. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/23337 
Available Versions of this Item
 Alternative estimates of the KleinI model. (deposited 17. Jun 2010 04:37) [Currently Displayed]