Gains by the common structural variance

Abstract

Consider a linear simultaneous equations model with a structural change. We present gains by the common structural variance in identification and asymptotic efficiency of the limited information maximum likelihood (LIML) estimator of structural coefficients in two regimes. The gains are obtained by comparing two LIML estimators derived with and without the common structural variance restriction.

Keywords:

• Simultaneous equations model
• Identification
• Asymptotic efficiency