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"Efficient Estimation of Simultaneous Equations with Auto-regressive
Errors by Instrumental Variables," The Review of Economics and
Statistics, November 1972, 444-449.
pdf file (520KB).
This paper discusses how the efficient instrumental variables
technique of Brundy and Jorgenson can be modified to take into
account autoregressive error terms. A limited information method
(LIVER) and a full information method (FIVER) are proposed.
The analysis is restricted to linear models.