Econometrica: Oct 1964, Volume 32, Issue 4

A Comparison of Alternative Estimators for Simultaneous Equations

https://doi.org/0012-9682(196410)32:4<532:ACOAEF>2.0.CO;2-M
p. 532-553

Gregory C. Chow

A natural generalization of least squares is proposed to estimate parameters in simultaneous linear equations. Full-information maximum likelihood is shown to be identical with this generalization. The extent to which other estimators deviate from the generalization is discussed. A paradox of Strotz is resolved, and application of canonical correlation theory to structural equations is indicated.
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