| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w0343 |
| 来源ID | Working Paper 0343 |
| Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes | |
| C. Gourieroux; Jean-Jacques Laffont; A. Monfort | |
| 发表日期 | 1979-05-01 |
| 出版年 | 1979 |
| 语种 | 英语 |
| 摘要 | 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). |
| URL | https://www.nber.org/papers/w0343 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557518 |
| 推荐引用方式 GB/T 7714 | C. Gourieroux,Jean-Jacques Laffont,A. Monfort. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes. 1979. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w0343.pdf（374KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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