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On Indirect Least Squares Estimation of a Simultaneous Equation System

Soo-Bin Park
The Canadian Journal of Statistics / La Revue Canadienne de Statistique
Vol. 2, No. 1 (1974), pp. 75-82
Stable URL: http://www.jstor.org/stable/3314964
Page Count: 8
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On Indirect Least Squares Estimation of a Simultaneous Equation System
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Abstract

The indirect least squares (ILS) approach is broadly regarded as a procedure of deriving the structural parameters of a simultaneous equation system indirectly from the estimates of reduced-form parameters. In this paper it is shown that the ILS approach yields estimators which are identical with the two-stage least squares estimator, when applied to a single equation, and the three-stage least squares estimator, when applied to the complete system. Thus a fresh motivation for the ILS method is provided. /// Dans cet article, nous montrons que la méthode des moindres carrés indirects, quand appliquée à une seule équation résulte en des estimateurs identiques à ceux des moindres carrés à deux degrés, et quand appliquée au système complet, les estimateurs sont identiques à ceux des moindres carrés à trois degrés.

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