Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23866
Authors: 
Schneeweiss, Hans
Maschke, Erich Otto
Pfannes, M.
Year of Publication: 
2003
Series/Report no.: 
Discussion papers / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 307
Abstract: 
Various estimators of the reduced form of a block recursive model are investigated and compared to each other. In particular it is shown that the structural reduced form estimator, which results from estimating separately each block of the block recursive model by some efficient method and then solving the system for the endogenous variables, is more efficient than the OLS estimator of the reduced form. Other reduced form estimators derived from OLS or Two Stage LS estimators of a partially reduced form have intermediate efficiency properties. The paper has been published in Schneeweiss et al (2001), but without the appendices.
Subjects: 
Block recursive model
reduced form
simultaneous equations model
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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