Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Oct, 1964, Volume 32, Issue 4

A Comparison of Alternative Estimators for Simultaneous Equations

https://doi.org/0012-9682(196410)32:4<532:ACOAEF>2.0.CO;2-M
p. 532-553

Gregory C. Chow

A natural generalization of least squares is proposed to estimate parameters in simultaneous linear equations. Full-information maximum likelihood is shown to be identical with this generalization. The extent to which other estimators deviate from the generalization is discussed. A paradox of Strotz is resolved, and application of canonical correlation theory to structural equations is indicated.


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