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.
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© 1984 Springer Science+Business Media New York
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Fomby, T.B., Johnson, S.R., Hill, R.C. (1984). Full Information Estimation. In: Advanced Econometric Methods. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-8746-4_22
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DOI: https://doi.org/10.1007/978-1-4419-8746-4_22
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-96868-1
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