Method-of-moment view of linear simultaneous equation systems

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In this paper, we review the modern method-of-moment-based approaches to identification and estimation of linear simultaneous equation systems. First, we present the rank condition for the structural form (SF) parameter identification. The rank condition comes naturally and is much easier to understand than that in the conventional reduced-form-based indirect approach. Then, we show how to estimate all SF parameters jointly (in a single step) with method-of-moment estimators. As it turns out, using only unconditional moments, but not any conditional moments, greatly simplifies the identification and estimation issues, and makes light work of conveying the essential ideas involved.

Original languageEnglish
Pages (from-to)230-238
Number of pages9
JournalStatistica Neerlandica
Volume62
Issue number2
DOIs
Publication statusPublished - 2008 May

Keywords

  • Linear simultaneous equations
  • Methods of moments
  • System estimation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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