The asymptotic covariance matrix of the full-information maximum-likelihood estimator is derived. The paper then compares the asymptotic efficiency of three estimators: full-information maximum likelihood, three-stage least squares, and linearized maximum likelihood. It is shown that all three are efficient if the covariance matrix of the contemporaneous structural disturbances is unknown. If, however, some elements of this covariance matrix are known a priori, then three-stage least squares is no longer efficient.
MLA
Leenders, C. T., and T. J. Rothenberg. “Efficient Estimation of Simultaneous Equation Systems.” Econometrica, vol. 32, .no 1, Econometric Society, 1964, pp. 57-76, https://www.jstor.org/stable/1913734
Chicago
Leenders, C. T., and T. J. Rothenberg. “Efficient Estimation of Simultaneous Equation Systems.” Econometrica, 32, .no 1, (Econometric Society: 1964), 57-76. https://www.jstor.org/stable/1913734
APA
Leenders, C. T., & Rothenberg, T. J. (1964). Efficient Estimation of Simultaneous Equation Systems. Econometrica, 32(1), 57-76. https://www.jstor.org/stable/1913734
The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica. Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device. Cookies are used to optimize your experience and anonymously analyze website performance and traffic.