The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 1974, Volume 42, Issue 2
https://doi.org/0012-9682(197403)42:2<311:ACOSLI>2.0.CO;2-P
p. 311-332
D. Cummins, Phoebus J. Dhrymes, R. Berner
In this paper we consider a number of estimators for the linear structural simultaneous equations model containing lagged endogenous variables and autocorrelated errors. The special case is considered in which the matrix of autocorrelation coefficients of the (vector) structural error process is diagonal. We consider the two stage least squares analogue (C2SLA) in this case, its relation to the estimators proposed earlier by Fair, the estimator obtained when the autocorrelation matrix is known, and a number of instrumental variables estimators, as well as a modification of the method of scoring which yields an estimator that is asymptotically equivalent to the C2SLA estimator. The asymptotic distributions of such estimators are obtained and we determine their relative asymptotic efficiencies.
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.
