The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Two-Stage Least Squares and The K-Class Estimator

  • N. E. Savin
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_1356

Abstract

Two-stage least squares has been a widely used method of estimating the parameters of a single structural equation in a system of linear simultaneous equations. This article first considers the estimation of a full system of equations. This provides a context for understanding the place of two-stage least squares in simultaneous-equation estimation. The article concludes with some comments on the lasting contribution of the two-stage least squares approach and more generally the future of the identification and estimation of simultaneous-equations models.

Keywords

Asymptotic distribution Bayesian method-of-moments approach Cowles Foundation Full and limited information methods Full-information maximum likelihood Generalized least squares Generalized method of moments Heteroskedasticity and autocorrelation Homoskedasticity Identification Indirect least squares Instrumental variables k-class estimators Limited information maximum likelihood Linear models Maximum likelihood Ordinary least squares Reduced-form equations Simultaneous equations models Structural parameters Two-stage least squares (2SLS) Two-stage least squares estimator and the k-class estimator Vector autoregressions 
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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • N. E. Savin
    • 1
  1. 1.