Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

Hausman, Jerry A.; Newey, Whitney K.; Taylor, William E.

doi:10.2307/1911032

Cited by 61 publications

(28 citation statements)

References 13 publications

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“…; y i2 À b b FABH Á y i1 Þ as instruments. Such instruments were previously used in Hausman et al (1987). Using the preliminary consistent estimator b b LD2AB to obtain residuals as instruments, we can also come up with another LD estimator.…”

Section: Article In Pressmentioning

confidence: 99%

Long difference instrumental variables estimation for dynamic panel models with fixed effects

Hahn

Hausman

Kuersteiner

2007

Journal of Econometrics

148

152

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Section: Article In Pressmentioning

confidence: 99%

Long difference instrumental variables estimation for dynamic panel models with fixed effects

Hahn

Hausman

Kuersteiner

2007

Journal of Econometrics

148

152

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“…In addition, as per Hausman et al . () and Revankar and Yoshino (), we can obtain the estimated random error term from our crude oil demand equation as an explanatory variable

{\overset{u}{true}}_{d t}

in supply equation. Rearranging Eq.…”

Section: The Theoretical Frameworkmentioning

confidence: 99%

Monetary policies and oil price determination: an empirical analysis

Taghizadeh–Hesary

Yoshino

2014

OPEC Energy Review

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While the oil price shocks of 1970s can be explained by pure supply factors, starting in the 1980s oil prices increasingly began to come under a different type of pressure. Oil prices accelerated from about $35/barrel in 1981 to beyond $111/barrel in 2011. At the same time interest rates subsided from 16.7 per cent per annum to about 0.1. This paper explains how this long‐term price increase was, in most cases, caused by expansionary monetary policies that heightened oil prices through interest rate channels. Aggressive monetary policies stimulated oil demand and blew up oil prices, a trend that led to slower economic growth. As for elasticities, the results described in this paper show that oil demand price elasticity is low value and unlike some earlier literature states, supply price elasticity is statistically significant. In last section, the results show that oil prices adjust instantly, declaring the existence of equilibrium in the oil market during the period from 1960 to 2011.

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“…The identification conditions for the case of restrictions on P are discussed in Fisher (1966), Hausman and Taylor (1980) and Wegge (1965).…”

Section: Identifiability Analysismentioning

confidence: 99%

Programming Identification Criteria in Simultaneous Equation Models

Halkos

Tsilika

2014

Comput Econ

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Examining the identification problem in the context of a linear econometric model can be a tedious task. The order condition of identifiability is an easy condition to compute, though difficult to remember. The application of the rank condition, due to its complicated definition and its computational demands, is time consuming and contains a high risk for errors. Furthermore, possible miscalculations could lead to wrong identification results, which cannot be revealed by other indications. Thus, a safe way to test identification criteria is to make use of computer software. Specialized econometric software can off-load some of the requested computations but the procedure of formation and verification of the identification criteria are still up to the user. In our identification study we use the program editor of a free computer algebra system, Xcas. We present a routine that tests various identification conditions and classifies the equations under study as «under-identified», «just-identified», «over-identified» and «unidentified», in just one entry.

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Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

Cited by 61 publications

References 13 publications

Long difference instrumental variables estimation for dynamic panel models with fixed effects

Long difference instrumental variables estimation for dynamic panel models with fixed effects

Monetary policies and oil price determination: an empirical analysis

Programming Identification Criteria in Simultaneous Equation Models

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