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July 1977 - Volume 45 Issue 5 Page 1243 - 1255


p.1243


Estimation of Simultaneous Equation Models with Measurement Error

Vincent J. Geraci

Abstract

This paper examines the estimation of a normal contemporaneous simultaneous equation model in which some of the exogenous variables are measured with error.The theory for asymptotically efficient least squares estimation is developed. The primary result is a structural least squares estimator which offers certain computational advantages relative to the full information maximum likelihood estimator.

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