Abstract
This paper introduces structural equations that do not satisfy
the rank and/or order condition(s) for identification but still
are identifiable. These equations are called seemingly unidentified
structural equations. The key to the identifiability of these
equations is that the right-hand-side endogenous variables undergo
structural changes with respect to the exogenous and/or
predetermined variables. To estimate the seemingly unidentified
structural equations, this paper uses the classical minimum
distance (MD) estimator and the principal components instrumental
variables (PCIV) estimator. The PCIV estimator is different
from conventional IV estimators for structural equations in
that nonlinear functions of exogenous and/or predetermined
variables are used as instruments. Simulation results comparing
the estimator efficiency of the MD and PCIV estimators are reported
in this paper. The results indicate that the MD and PCIV estimators
are complementary to each other. The estimation methods proposed
in this paper are applied to the Japanese export and GDP data
to study the effect of export growth rate on that of GDP.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
2 articles.
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