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Topics In Advanced Econometrics - Volume II Linear and Nonlinear Simultaneous Equations (Paperback, Softcover reprint of the original 1st ed. 1994)
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Topics In Advanced Econometrics - Volume II Linear and Nonlinear Simultaneous Equations (Paperback, Softcover reprint of the original 1st ed. 1994)
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This book is intended for second year graduate students and
professionals who have an interest in linear and nonlinear
simultaneous equations mod els. It basically traces the evolution
of econometrics beyond the general linear model (GLM), beginning
with the general linear structural econo metric model (GLSEM) and
ending with the generalized method of mo ments (GMM). Thus, it
covers the identification problem (Chapter 3), maximum likelihood
(ML) methods (Chapters 3 and 4), two and three stage least squares
(2SLS, 3SLS) (Chapters 1 and 2), the general nonlinear model (GNLM)
(Chapter 5), the general nonlinear simultaneous equations model
(GNLSEM), the special ca'3e of GNLSEM with additive errors, non
linear two and three stage least squares (NL2SLS, NL3SLS), the GMM
for GNLSEIVl, and finally ends with a brief overview of causality
and re lated issues, (Chapter 6). There is no discussion either of
limited dependent variables, or of unit root related topics. It
also contains a number of significant innovations. In a departure
from the custom of the literature, identification and consistency
for nonlinear models is handled through the Kullback information
apparatus, as well as the theory of minimum contrast (MC)
estimators. In fact, nearly all estimation problems handled in this
volume can be approached through the theory of MC estimators. The
power of this approach is demonstrated in Chapter 5, where the
entire set of identification requirements for the GLSEM, in an ML
context, is obtained almost effortlessly, through the apparatus of
Kullback information."
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