The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Apr, 1969, Volume 37, Issue 2
https://doi.org/0012-9682(196904)37:2<298:COZTSL>2.0.CO;2-J
p. 298-306
R. Narayanan
In their paper on the three stage least squares method of estimation of a simultaneous equation system, Zellner and Theil [5] make the interesting observation that the large sample efficiency of the estimates of the parameters in the group of over-identified equations is unaffected if the three stage method is applied to this subsystem alone, ignoring all the exactly identified equations. It is shown in this paper that the estimates themselves--not just their large sample efficiency--are unaffected if one follows the above mentioned simplified procedure. This result is established for the general case of a simultaneous equation system subject to linear homogeneous a priori restrictions, whereas many other known properties of the three stage least squares method have been demonstrated only for the special case of "simple restrictions" on the structural coefficients. An error in the expression giving the estimates for the exactly identified equations in Zellner-Theil's paper is also corrected. The results of this paper have obvious significance for the problem of developing an efficient computer program for finding the three stage least squares estimates.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
