Econometrica: Jul 1986, Volume 54, Issue 4

Instrumental-Variable Estimation of an Error-Components Model

https://doi.org/0012-9682(198607)54:4<869:IEOAEM>2.0.CO;2-6
p. 869-880

Takeshi Amemiya, Thomas E. MaCurdy

This 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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