Econometrica: Jul 1977, Volume 45, Issue 5
Estimation of Simultaneous Equation Models with Measurement Error
https://doi.org/0012-9682(197707)45:5<1243:EOSEMW>2.0.CO;2-D
p.
1243-1255
Vincent J. Geraci
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.Log In To View Full Content