Chapter 7
SPECIFICATION AND ESTIMATION
OF SIMULTANEOUS EQUATION MODELS
JERRY A. HAUSMAN*
Massachusetts Institute of Technology
Contents
1. Introduction 392
2. Model specification 396
3. Identification 402
4. Estimation 408
4.1. Single equation estimation 408
4.2. System estimation 413
4.3. Reduced-form estimation 417
4.4. Maximum likelihood estimation 418
4.5. Estimation with covariance restrictions 426
4.6. Other considerations 428
5. Specification tests 430
6. Non-linear specifications 436
References 445