Econometrica: Jul 1977, Volume 45, Issue 5

Estimation of Simultaneous Equation Models with Measurement Error<1243:EOSEMW>2.0.CO;2-D
p. 1243-1255

Vincent J. Geraci

This paper examines the estimation of a normal contemporaneous simultaneous equation model in which some of the exogenous variables are measured with error.The theory for asymptotically efficient least squares estimation is developed. The primary result is a structural least squares estimator which offers certain computational advantages relative to the full information maximum likelihood estimator.

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