A Generalized Singular Value Decomposition Strategy for Estimating the Block Recursive Simultaneous Equations Model
Sign Up to like & getrecommendations! Published in 2017 at "Computational Economics"
DOI: 10.1007/s10614-016-9595-y
Abstract: A new strategy for deriving the three-stage least squares (3SLS) estimator of the simultaneous equations model (SEM) is proposed. The main numerical tool employed is the generalized singular value decomposition. This provides a numerical estimation… read more here.
Keywords: simultaneous equations; generalized singular; equations model; strategy ... See more keywords
Sustainability Challenge in the Agenda of African Countries: Evidence from Simultaneous Equations Models
Sign Up to like & getrecommendations! Published in 2019 at "Journal of the Knowledge Economy"
DOI: 10.1007/s13132-019-00605-4
Abstract: This paper has the aim to treat the interaction between the pillars of the sustainable development issue. We also attempt to build an index which is used as a measure of sustainable development by including… read more here.
Keywords: development; sustainability challenge; simultaneous equations; african countries ... See more keywords
Multicollinearity in simultaneous equations system: evaluation of estimation performance of two-parameter estimator
Sign Up to like & getrecommendations! Published in 2018 at "Computational and Applied Mathematics"
DOI: 10.1007/s40314-018-0628-0
Abstract: In simultaneous equations model, two-stage least squares estimator is easy to apply and commonly preferred. When multicollinearity exists, two-stage least squares estimator has some drawbacks and it is no longer favorable. In this context, biased… read more here.
Keywords: parameter estimator; estimation; simultaneous equations; two parameter ... See more keywords
Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2016.04.019
Abstract: This paper investigates a simultaneous equations spatial autoregressive model which incorporates simultaneity effects, own-variable spatial lags and cross-variable spatial lags as explanatory variables, and allows for correlation between disturbances across equations. In exposition, we also… read more here.
Keywords: equations spatial; identification qml; estimation; simultaneous equations ... See more keywords
A recursive three-stage least squares method for large-scale systems of simultaneous equations
Sign Up to like & getrecommendations! Published in 2018 at "Linear Algebra and its Applications"
DOI: 10.1016/j.laa.2017.08.019
Abstract: A new numerical method is proposed that uses the QR decomposition (and its variants) to derive recursively the three-stage least squares (3SLS) estimator of large-scale simultaneous equations models (SEM). The 3SLS estimator is obtained sequentially,… read more here.
Keywords: large scale; stage least; three stage; least squares ... See more keywords
Two-stage Liu estimator in a simultaneous equations model
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Statistical Computation and Simulation"
DOI: 10.1080/00949655.2018.1450875
Abstract: ABSTRACT Two-stage least squares estimation in a simultaneous equations model has several desirable properties under the problem of multicollinearity. So, various kinds of improved estimation techniques can be developed to deal with the problem of… read more here.
Keywords: stage liu; two stage; simultaneous equations; liu estimator ... See more keywords
Refined GMM estimators for simultaneous equations models with network interactions
Sign Up to like & getrecommendations! Published in 2023 at "Empirical Economics"
DOI: 10.2139/ssrn.4285424
Abstract: The paper proposes a refinement of the generalized spatial two-stage and three-stage least squares estimators for simultaneous systems of equations with network interdependence, recently introduced in Drukker (Econom Theory 1-48, 2022). Specifically, we propose a… read more here.
Keywords: network; simultaneous equations; estimators simultaneous; refined gmm ... See more keywords