Method-of-moment view of linear simultaneous equation systems

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    2 Citations (Scopus)

    Abstract

    In this paper, we review the modern method-of-moment-based approaches to identification and estimation of linear simultaneous equation systems. First, we present the rank condition for the structural form (SF) parameter identification. The rank condition comes naturally and is much easier to understand than that in the conventional reduced-form-based indirect approach. Then, we show how to estimate all SF parameters jointly (in a single step) with method-of-moment estimators. As it turns out, using only unconditional moments, but not any conditional moments, greatly simplifies the identification and estimation issues, and makes light work of conveying the essential ideas involved.

    Original languageEnglish
    Pages (from-to)230-238
    Number of pages9
    JournalStatistica Neerlandica
    Volume62
    Issue number2
    DOIs
    Publication statusPublished - 2008 May

    Keywords

    • Linear simultaneous equations
    • Methods of moments
    • System estimation

    ASJC Scopus subject areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

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