[position in research by date] [position in research by subject]

"Efficient Estimation of Simultaneous Equations with Auto-regressive Errors by Instrumental Variables," The Review of Economics and Statistics, November 1972, 444-449.
pdf file.



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.