Formes et méthodes d’estimation des systèmes récursifs dynamiques à double indice

Ghassan, Hassan B. (2000): Formes et méthodes d’estimation des systèmes récursifs dynamiques à double indice. Published in: Revue de l'Institut National de Statistique et d'Economie Appliquée , Vol. 19, (16 March 2002): pp. 61-79.

Abstract

The purpose of this paper is to study the model belongs to the family of structural equation models with data varying both across individuals (sectors) and in time. A complete theoretical analysis is developed in this work for the case of a dynamic recursive structure. Maximum likelihood estimation and SUR-GLS “Seemingly Unrelated Regressions-Generalized Least Square” estimators (iterated or not, with proper instruments and with Taylor’s transformation) are carefully used. These last convergent estimators are most efficient. The application of these methods to panel sector of morocco’s economy is treated in another paper.

• Item Type: MPRA Paper
• English Title: Forms and Estimation Methods of Panel Recursive Dynamic Systems
• Language: French
• Keywords: Causality, Recursive System, Estimation, Asymptotic.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation

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