Efficient Estimation of Nonlinear Simultaneous Equations with Additive Disturbances
The MIT Press eBooksPublished 1 January 2000
Dale W. Jorgenson, Lawrence J. Lau
Citations97
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Abstract
This paper de(=elops a theory of CU AN estimation for systems of nonlinear simultaneous equal/on.\with additive disturbances.We first derive the Cramer-Rna lower bound for the variance ofa C UAN estimator.The method ofmaximum likelihood can be used fa generate an estimator that allain.<this bound.We show that minimum distance and instrumental ('ariables estimators cannot generally allain the Cramer-Rao bound.
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