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Random Parameters in a Simultaneous Equation Framework: Identification and Estimation

H. H. Kelejian
Econometrica
Vol. 42, No. 3 (May, 1974), pp. 517-528
Published by: The Econometric Society
DOI: 10.2307/1911788
Stable URL: http://www.jstor.org/stable/1911788
Page Count: 11
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Random Parameters in a Simultaneous Equation Framework: Identification and Estimation
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Abstract

Identification and estimation problems concerning simultaneous equation models which have random parameters are considered, and some results are derived. For instance, a reducibility condition is derived under which the conditions for identification of such a system are identical to those that would be relevant if the parameters were not random. This condition is then weakened to one which relates to the identification and estimation problems of a particular equation in the model. Examples are given. Further generalizations are also considered but only conditional results are given. Further work is suggested.

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