Econometrica: Jul 1986, Volume 54, Issue 4
Instrumental-Variable Estimation of an Error-Components Model
Takeshi Amemiya, Thomas E. MaCurdyThis paper proposes efficient instrumental-variable estimators for an error-components model considering alternative assumptions about the sources of endogeneity and the variance-covariance properties of disturbances. The analysis develops a general result that provides for the construction of asymptotically efficient estimators when there exist variables that are predetermined for only a subset of the equations making up a structural model.
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