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A Test of the Rank Conditions in the Simultaneous Equation Models
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 Title & Authors
A Test of the Rank Conditions in the Simultaneous Equation Models
So, Sun-Ha; Park, You-Sung; Lee, Dong-Hee;
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 Abstract
Simultaneous equation models, which are widely used in business and economic areas, generally consist of endogenous variables determined within models and exogenous variables externally determined and in the simultaneous equations model framework there are rank and order conditions for the model identification and the existence of unique solutions. By contrast, their estimating results have less efficiencies and furthermore do not exist, since the most estimating procedures are performed under the assumptions for rank and order conditions. We propose the new statistical test for sufficiency of the rank condition under the order condition, and show the asymptotic properties for the test. The Monte Carlo simulation studies are achieved in order to evaluate its power and to suggest the baseline for satisfying the rank conditions.
 Keywords
Model identification;order condition;rank condition;simultaneous equation model;
 Language
Korean
 Cited by
 References
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