IDEAS home Printed from https://ideas.repec.org/a/spr/jqecon/v19y2021i3d10.1007_s40953-021-00236-0.html
   My bibliography  Save this article

Simultaneous Equations with Three Way Error Components

Author

Listed:
  • Marius C. O. Amba

    (University of Yaounde II)

Abstract

This paper derives limited and full information estimators for structural parameters of a simultaneous equations model with three-way error components for balanced panels. The model consists in a finite number of equations that incorporates three dimensions: area, individual and time. Monte Carlo experiments illustrate the gain in efficiency by performing their estimators rather than the existing procedures for simultaneous one-way and simultaneous two-way error components.

Suggested Citation

  • Marius C. O. Amba, 2021. "Simultaneous Equations with Three Way Error Components," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 583-596, September.
    • Handle: RePEc:spr:jqecon:v:19:y:2021:i:3:d:10.1007_s40953-021-00236-0
    DOI: 10.1007/s40953-021-00236-0
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s40953-021-00236-0
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s40953-021-00236-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

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

    References listed on IDEAS

    as
    1. Prucha, Ingmar R, 1985. "Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 491-506, June.
    2. Nerlove, Marc, 1971. "A Note on Error Components Models," Econometrica, Econometric Society, vol. 39(2), pages 383-396, March.
    3. Xiaodong Liu & Paulo Saraiva, 2019. "GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity," Econometric Reviews, Taylor & Francis Journals, vol. 38(4), pages 359-385, April.
    4. Badi H. Baltagi, 2021. "Simultaneous Equations with Error Components," Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 157-186, Springer.
    5. Baltagi, Badi H, 1984. "A Monte Carlo Study for Pooling Time Series of Cross-Section Data in the Simultaneous Equations Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 603-624, October.
    6. Swamy, P A V B & Arora, S S, 1972. "The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models," Econometrica, Econometric Society, vol. 40(2), pages 261-275, March.
    7. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
    8. Fuller, Wayne A. & Battese, George E., 1974. "Estimation of linear models with crossed-error structure," Journal of Econometrics, Elsevier, vol. 2(1), pages 67-78, May.
    9. Xiaodong Liu, 2020. "GMM identification and estimation of peer effects in a system of simultaneous equations," Journal of Spatial Econometrics, Springer, vol. 1(1), pages 1-27, December.
    10. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2013. "A Generalized Spatial Panel Data Model with Random Effects," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 650-685, August.
    11. Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
    12. Baltagi, Badi H. & Chang, Young-Jae, 2000. "Simultaneous Equations With Incomplete Panels," Econometric Theory, Cambridge University Press, vol. 16(2), pages 269-279, April.
    13. Maddala, G S, 1971. "The Use of Variance Components Models in Pooling Cross Section and Time Series Data," Econometrica, Econometric Society, vol. 39(2), pages 341-358, March.
    14. Amemiya, Takeshi, 1971. "The Estimation of the Variances in a Variance-Components Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(1), pages 1-13, February.
    15. Lina Lu, 2017. "Simultaneous Spatial Panel Data Models with Common Shocks," Supervisory Research and Analysis Working Papers RPA 17-3, Federal Reserve Bank of Boston.
    16. Wallace, T D & Hussain, Ashiq, 1969. "The Use of Error Components Models in Combining Cross Section with Time Series Data," Econometrica, Econometric Society, vol. 37(1), pages 55-72, January.
    17. Yang, Kai & Lee, Lung-fei, 2017. "Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 196(1), pages 196-214.
    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. AMBA OYON, Claude Marius & Mbratana, Taoufiki, 2017. "Simultaneous equation models with spatially autocorrelated error components," MPRA Paper 82395, University Library of Munich, Germany.
    2. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
    3. Dong Kim, 2012. "What is an oil shock? Panel data evidence," Empirical Economics, Springer, vol. 43(1), pages 121-143, August.
    4. Laura Magazzini & Giorgio Calzolari, 2010. "Negative variance estimates in panel data models," Working Papers 15/2010, University of Verona, Department of Economics.
    5. Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
    6. Álvarez, Inmaculada C. & Barbero, Javier & Zofío, José L., 2017. "A Panel Data Toolbox for MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 76(i06).
    7. AMBA OYON, Claude Marius & Mbratana, Taoufiki, 2018. "Simultaneous Generalized Method of Moments Estimator for Panel Data Models with Spatially Correlated Error Components," MPRA Paper 84746, University Library of Munich, Germany.
    8. repec:jss:jstsof:27:i02 is not listed on IDEAS
    9. Badi H. Baltagi, 1987. "On Estimating from a More General Time-Series Cum Cross-Section Data Structure," The American Economist, Sage Publications, vol. 31(2), pages 69-71, October.
    10. Subhash C. Sharma & Anil K. Bera, 2021. "Estimation of Random Components and Prediction in One and Two-Way Error Component Regression Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 419-441, December.
    11. Baltagi, Badi H. & Pirotte, Alain, 2010. "Panel data inference under spatial dependence," Economic Modelling, Elsevier, vol. 27(6), pages 1368-1381, November.
    12. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
    13. Marius C. O. Amba & Taoufiki Mbratana & Julie Gallo, 2023. "Spatial panel simultaneous equations models with error components," Empirical Economics, Springer, vol. 65(3), pages 1149-1196, September.
    14. Andrea Vaona & Mario Pianta, 2008. "Firm Size and Innovation in European Manufacturing," Small Business Economics, Springer, vol. 30(3), pages 283-299, March.
    15. Hamid Beladi & Nicholas S. P. Tay & Reza Oladi, 2011. "On Competition for Listings," Working Papers 0003, College of Business, University of Texas at San Antonio.
    16. Issler, João Victor & Lima, Luiz Renato, 2009. "A panel data approach to economic forecasting: The bias-corrected average forecast," Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
    17. Lee, Lung-fei & Yu, Jihai, 2010. "Some recent developments in spatial panel data models," Regional Science and Urban Economics, Elsevier, vol. 40(5), pages 255-271, September.
    18. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    19. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
    20. Baltagi, Badi H. & Blien, Uwe, 1998. "The German wage curve: evidence from the IAB employment sample," Economics Letters, Elsevier, vol. 61(2), pages 135-142, November.
    21. Heather D Gibson & Stephen G Hall & Deborah GeFang & Pavlos Petroulas & George S Tavlas, 2021. "Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1454-1470.

    More about this item

    Keywords

    Panel data; Simultaneous equations; Three-way error components;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

    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:spr:jqecon:v:19:y:2021:i:3:d:10.1007_s40953-021-00236-0. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.