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Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances

✍ Scribed by Jean-Paul Chavas


Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
908 KB
Volume
4
Category
Article
ISSN
0167-9473

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## Abstract In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We propose modified two‐stage least squares (2SLS) and modified 3SLS procedures where the conditional heteroskedast