IDEAS home Printed from https://ideas.repec.org/a/ecm/emetrp/v48y1980i3p675-95.html
   My bibliography  Save this article

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

Author

Listed:
  • Gourieroux, C
  • Laffont, J J
  • Monfort, A

Abstract

In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and probit (Amemiya, Schmidt) and multi-market macroeconomic disequilibrium (Gourieroux, Laffont and Nonfort).
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-695, April.
    • Handle: RePEc:ecm:emetrp:v:48:y:1980:i:3:p:675-95
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0012-9682%28198004%2948%3A3%3C675%3ACCISLE%3E2.0.CO%3B2-H&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. repec:bla:scandj:v:92:y:1990:i:1:p:109-20 is not listed on IDEAS
    2. Amemiya, Takeshi, 1974. "Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal," Econometrica, Econometric Society, vol. 42(6), pages 999-1012, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fadhuile, Adelaide & Lemarie, Stephane & Pirotte, Alain, 2011. "Pesticides Uses in Crop Production: What Can We Learn from French Farmers Practices?," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103654, Agricultural and Applied Economics Association.
    2. Taniguchi, Kiyoshi & Chern, Wen S., 2000. "Income Elasticity Of Rice Demand In Japan And Its Implications: Cross-Sectional Data Analysis," 2000 Annual meeting, July 30-August 2, Tampa, FL 21755, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Van Soest, Arthur & Kooreman, Peter, 1990. "Coherency of the indirect translog demand system with binding nonnegativity constraints," Journal of Econometrics, Elsevier, vol. 44(3), pages 391-400, June.
    4. Justo Manrique & Kalu Ojah, 2003. "The demand for housing in Spain: an endogenous switching regression analysis," Applied Economics, Taylor & Francis Journals, vol. 35(3), pages 323-336.
    5. Ernest M. Zampelli & Steven T. Yen, 2017. "The Impact Of Tax Price Changes On Charitable Contributions To The Needy," Contemporary Economic Policy, Western Economic Association International, vol. 35(1), pages 113-124, January.
    6. Michelle A. Danis, 2003. "A Discrete Choice Approach to Measuring Competition in Equity Option Markets," FHFA Staff Working Papers 03-05, Federal Housing Finance Agency.
    7. Dong, Diansheng & Gould, Brian W. & Kaiser, Harry M., 2002. "The Structure Of Food Demand In Mexico: An Application Of The Amemiya-Tobin Approach To The Estimation Of A Censored System," 2002 Annual meeting, July 28-31, Long Beach, CA 19830, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Andrew K.G. Tan & Steven T. Yen & Abdul Rahman Hasan, 2015. "At-Home Consumption of Fish Products in Malaysia: An Analysis of Household Expenditure Survey Data," Marine Resource Economics, University of Chicago Press, vol. 30(4), pages 417-433.
    9. Torres, Marcelo de O. & Felthoven, Ronald G., 2014. "Productivity growth and product choice in catch share fisheries: The case of Alaska pollock," Marine Policy, Elsevier, vol. 50(PA), pages 280-289.
    10. Bellon, Mauricio R & Taylor, J Edward, 1993. ""Folk" Soil Taxonomy and the Partial Adoption of New Seed Varieties," Economic Development and Cultural Change, University of Chicago Press, vol. 41(4), pages 763-786, July.
    11. Dang, Hai-Anh, 2007. "The determinants and impact of private tutoring classes in Vietnam," Economics of Education Review, Elsevier, vol. 26(6), pages 683-698, December.
    12. Brannlund, Runar & Nordstrom, Jonas, 2004. "Carbon tax simulations using a household demand model," European Economic Review, Elsevier, vol. 48(1), pages 211-233, February.
    13. Peter Huber & Harald Oberhofer & Michael Pfaffermayr, 2014. "Job creation and the intra-distribution dynamics of the firm size distribution," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 23(1), pages 171-197, February.
    14. Reiss, Peter C. & Wolak, Frank A., 2003. "Structural Econometric Modeling: Rationales and Examples from Industrial Organization," Research Papers 1831, Stanford University, Graduate School of Business.
    15. Chih‐Sheng Hsieh & Lung‐Fei Lee & Vincent Boucher, 2020. "Specification and estimation of network formation and network interaction models with the exponential probability distribution," Quantitative Economics, Econometric Society, vol. 11(4), pages 1349-1390, November.
    16. Claessens,Constantijn A. & Djankov, Simeon, 1998. "Politicians and firms in seven central and eastern European countries," Policy Research Working Paper Series 1954, The World Bank.
    17. Chihwa Kao & Lung-fei Lee & Mark M. Pitt, 2001. "Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 215-235, May.
    18. Andrew K.G. Tan & Steven T. Yen & Abdul Rahman Hasan, 2016. "Cigarette and Alcohol Expenditures in Malaysia: Implications for Anti‐Smoking and Drinking Policies," Asian Economic Journal, East Asian Economic Association, vol. 30(4), pages 401-421, December.
    19. Pofahl, Geoffrey M. & Capps, Oral, Jr. & Clauson, Annette L., 2005. "Demand for Non-Alcoholic Beverages: Evidence From The ACNielsen Home Scan Panel," 2005 Annual meeting, July 24-27, Providence, RI 19441, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    20. Andrew Chesher & Adam Rosen, 2020. "Econometric Modeling of Interdependent Discrete Choice with Applications to Market Structure," CeMMAP working papers CWP25/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:48:y:1980:i:3:p:675-95. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/essssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.