Estimation of Simultaneous Equation Models with Error Components Structure - Krishnakumar, Jayalakshmi

. .

Sommaire:
1. Introduction.- 1.1 General.- 1.2 Organization of the Book.- 2. A Survey of Panel Data Models.- 2.1 General.- 2.2 Constant Slope Variable Intercept Models.- 2.3 Variable Coefficient Models.- 2.4 Estimation of Variance Components in Panel Data Models.- 2.5 Estimation of Models using Incomplete Time-Series Cross-Section Data.- 2.6 Extensions.- 3. Presentation of Simultaneous Equations Models with Error Components Structure and Estimation of the Reduced Form.- 3.1 The Model.- 3.2 Estimation of the Reduced Form.- Appendix 3.A Proof of the Consistency of the Feasible GLS Estimator of Reduced Form Coefficients.- Appendix 3.B Limiting Distribution of the Feasible GLS Estimator of the Reduced Form.- Appendix 3.C. Limiting Distribution of the Reduced Form Maximum Likelihood Estimators.- 4 Estimation of the Structural Form - Part 1.- 4.1 Generalised Two Stage Least Squares - A Single Equation Method.- 4.2 Generalised Three Stage Least Squares - A System Method.- Appendix 4.A Proof of the Consistency of the 2SLS Covariance Estimators dollars dollars {{\hat a}_{m\left( {\operatorname{cov} } \right)}} dollars dollars and dollars dollars {{\hat a}_{m\left( {\operatorname{cov} } \right)}} dollars dollars.- Appendix 4.B Proof of the Consistency of AOV Estimators of Eigenvalues and Variance Components of ?mm.- Appendix 4.C Proof of the Consistency of the Feasible (and pure) G2SLS Estimator.- Appendix 4.D Limiting Distribution of the Feasible G2SLS Estimator.- Appendix 4.E Limiting Distribution of the Feasible G3SLS Estimator.- 5 Estimation of the Structural Form - Part 2.- 5.1 Full Information Maximum Likelihood (FIML) Estimation of the Structural Form.- 5.2 Limited Information Maximum Likelihood (LIML) Estimation of the Structural Form.- Appendix 5.A Limiting Distribution of the FIML Estimators.- 6 The Just-Identified Caseand Indirect Estimation of Structural Parameters.- 6.1 The Identification Problem.- 6.2 Derivation of the Indirect Estimators of Structural Coefficients and their Limiting Distributions.- 6.3 Comparison of the IfGLS Estimator with the fG2SLS and fG3SLS Estimators.- Appendix 6.A Limiting Distribution of the Indirect Feasible GLS Estimator.- 7 Bias of the Feasible Estimators of Reduced Form and Structural Variance Components and Coefficients.- 7.1 The Unbiasedness of the Feasible AOV Estimators of Reduced Form Variance Components.- 7.2 The Unbiasedness of the Feasible GLS Estimator of the Reduced Form Coefficients.- 7.3 Bias of Structural Variance Components Estimators.- 7.4 Bias of Structural Coefficients Estimators.- Appendix 7.A Preliminary Computations of Orders.- Appendix 7.B Derivations of Expectations.- Appendix 7.C Order Calculations Involved in the Determination of the Bias of the Feasible G2SLS Estimator.- Appendix 7.D Expectation of ?i11X'Njul for i=1,4 and j=1,4.- 8 Application to a Model of Residential Electricity Demand.- 8.1 The Model.- 8.2 The Data.- 8.3 Estimation Methods.- 8.4 Results.- Appendix 8.A Computer Programs of Estimation Methods.- 9 Conclusions.- References.