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

Paper: 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.