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Full Information Estimation

  • Thomas B. Fomby
  • Stanley R. Johnson
  • R. Carter Hill

Abstract

In the previous chapter, we discussed methods of estimation for systems of simultaneous equations that utilized information pertaining to a particular equation alone but not that related to other equations nor the fact that the structural disturbances of various equations are contemporaneously correlated. In this chapter, however, methods are introduced that utilize both intra- and inter-equation information. As we shall see, the utilization of this additional information leads to a gain in the efficiency of estimation. In addition, this chapter discusses the implementation and testing of linear hypotheses in simultaneous equations models that may arise from a priori economic reasoning. Apart from the information implicit in a simultaneous equations model itself, the utilization of linear hypotheses can lead to extra gains in efficiency.

Keywords

Full Information Simultaneous Equation Full Information Maximum Likelihood Simultaneous Equation Model Asymptotic Covariance Matrix 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1984

Authors and Affiliations

  • Thomas B. Fomby
    • 1
  • Stanley R. Johnson
    • 2
  • R. Carter Hill
    • 3
  1. 1.Department of EconomicsSouthern Methodist UniversityDallasUSA
  2. 2.The Center for Agricultural and Rural DevelopmentIowa State UniversityAmesUSA
  3. 3.Department of EconomicsLouisiana State UniversityBaton RougeUSA

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