Econometrica: Jul 1977, Volume 45, Issue 5
Estimation of Simultaneous Equation Models with Measurement Error
Vincent J. GeraciThis 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