The following model is specified: y1 = 1y2 + 11x1 + 1, y2 = 2y1 + 22x2
Question:
The following model is specified: y1 = γ1y2 + β11x1 + ε1, y2 = γ2y1 + β22x2 + β32x3 + ε2. All variables are measured as deviations from their means. The sample of 25 observations produces the following matrix of sums of squares and cross products:
a. Estimate the two equations by OLS.
b. Estimate the parameters of the two equations by 2SLS. Also estimate the asymptotic covariance matrix of the 2SLS estimates.
c. Obtain the LIML estimates of the parameters of the first equation.
d. Estimate the two equations by 3SLS.
e. Estimate the reduced-form coefficient matrix by OLS and indirectly by using your structural estimates from Partb.
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52 3 The relevant submatrices are XX 2 10 8 38 15 10 y132 6 XZ Z Z 6 6 7 4 2 3 35 6 2XZ Zy 4 ZY2 The ...View the full answer
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