In a landmark contribution to the structural vector autoregression (SVARs) literature, RubioRam'ırez, Waggoner, and Zha (2010, 'Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic Studies) shows a necessary and sufficient condition for...

We provide a general framework for incorporating many types of micro data from summary statistics to full surveys of selected consumers into Berry, Levinsohn, and Pakes (1995)-style estimates of differentiated products demand systems. We extend best practices for BLP estimation in Conlon and...

We propose two simple bias reduction procedures that apply to estimators in a general static simultaneous equation model and which are valid under reatively weak distributional assumptions for the errors. Standard jackknife estimators, as applied to 2SLS, may not reduce the bias of the exogenous...

We propose two simple bias reduction procedures that apply to estimators in a general static simultaneous equation model and which are valid under reatively weak distributional assumptions for the errors. Standard jackknife estimators, as applied to 2SLS, may not reduce the bias of the exogenous...

The mixed-demand model allows for very flexible specification of what should be considered endogenous and exogenous in demand system estimation. This paper introduces a revealed preference framework to analyze the mixed-demand model. The proposed methods can be used to test whether observed data...

This paper presents a simple two-step nonparametric estimator for a triangular simultaneous equation model. Our approach employs series approximations that exploit the additive structure of the model. The first step comprises the nonparametric estimation of the reduced form and the corresponding...

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptotic properties of the identified parameters are...

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptoticproperties of the identified parameters are...

We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension, N, and time series dimension, T. Two types of linear transformation to remove the individual-specific...

In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...