Two-Stage Least Squares Estimation in the Simultaneous Equation Model with Errors in the Variables
讨论在变量存在测量误差的联立方程模型中，如何用两阶段最小二乘法一致估计需求方程的参数，并指出供给方程不可识别。
where j,, is the quantity bought and sold of a commodity in year t and 1,21 is the price of that commodity in year t. Equation ( 1) represents the demand equation of the system (/31 0), wherein (, is some exogenous variable that influences the supply of the commodity, e.g., a cost variable. E1 and E2, are disturbances, each of which we assume to be serially uncorrelated and identically distributed with zero means. (, is assumed to be uncorrelated with the disturbances. The supply equation is not identified, implying that its parameters /32 and y cannot be estimated consistently. However, the demand equation is just-identified. The parameter /3, can be estimated consistently, e.g., by the method of two stage least squares (TSLS). Received for publication May 21, 1981. Revision accepted for publication March 23, 1982. State University of Groningen. Helpful comments from Professors M. A. Kooyman and H. Rijken van 01st and from two anonymous referees are gratefully acknowledged.