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Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes / C. Gourieroux, Jean-Jacques Laffont, A. Monfort.
- Format:
- Book
- Author/Creator:
- Gourieroux, C.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0343.
- NBER working paper series no. w0343
- Language:
- English
- Subjects (All):
- Economics.
- Econometrics.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1979.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1979.
- Summary:
- In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and probit (Amemiya, Schmidt) and multi-market macroeconomic disequilibrium (Gourieroux, Laffont and Nonfort).
- Notes:
- Print version record
- May 1979.
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