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Formes et méthodes d’estimation des systèmes récursifs dynamiques à double indice
[Forms and Estimation Methods of Panel Recursive Dynamic Systems]

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  • Ghassan, Hassan B.

Abstract

The purpose of this paper is to study the model belongs to the family of structural equation models with data varying both across individuals (sectors) and in time. A complete theoretical analysis is developed in this work for the case of a dynamic recursive structure. Maximum likelihood estimation and SUR-GLS “Seemingly Unrelated Regressions-Generalized Least Square” estimators (iterated or not, with proper instruments and with Taylor’s transformation) are carefully used. These last convergent estimators are most efficient. The application of these methods to panel sector of morocco’s economy is treated in another paper.

Suggested Citation

  • Ghassan, Hassan B., 2000. "Formes et méthodes d’estimation des systèmes récursifs dynamiques à double indice [Forms and Estimation Methods of Panel Recursive Dynamic Systems]," MPRA Paper 56432, University Library of Munich, Germany, revised 08 Oct 2001.
    • Handle: RePEc:pra:mprapa:56432
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    References listed on IDEAS

    as
    1. Maeshiro, Asatoshi, 1980. "New evidence on the small properties of estimators of sur models with autocorrelated disturbances," Journal of Econometrics, Elsevier, vol. 12(2), pages 177-187, February.
    2. Spencer, David E., 1979. "Estimation of a dynamic system of seemingly unrelated regressions with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 10(2), pages 227-241, June.
    3. Hatanaka, Michio, 1976. "Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 4(2), pages 189-204, May.
    4. Turkington, Darrell, 2000. "Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances," Journal of Econometrics, Elsevier, vol. 99(2), pages 225-253, December.
    5. BALESTRA, Pietro & GHASSAN, Hassan, 1994. "Modèles récursifs à double indice," LATEC - Document de travail - Economie (1991-2003) 1994-06, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Causality; Recursive System; Estimation; Asymptotic.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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