descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 1987Publisher:Nature Publishing Group

Authors: N. E. Savin;

doi: 10.1057/9780230226203.3708 , 10.1007/978-1-349-20570-7_37 , 10.1057/9780230226203.1752 , 10.1057/978-1-349-95121-5_1356-2 , 10.1057/978-1-349-95121-5_1356-1 , 10.1057/978-1-349-95189-5_1356

two-stage least squares and the k-class estimator

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Abstract

Two-stage least squares (TSLS) is a method of estimating the parameters of a single structural equation in a system of linear simultaneous equations. The TSLS estimator was proposed by Theil (1953a, 1961) and independently by Basmann (1957). The early work on simultaneous equation estimation was carried out by a group of econometricians at the Cowles Commission. This work was based on the method of maximum likelihood. Anderson and Rubin (1949) proposed the limited information maximum likelihood (LIML) estimator for the parameters of a single structural equation.

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