Topics In Advanced Econometrics: Volume 2: Linear And Nonlinear Simultaneous Equations

This textbook is intended for graduate students and professionals who have an interest in linear and nonlinear simultaneous equation models. These models arise in a great many settings in econometrics. The author's aim is to present a readable account, starting from an introduction to the general linear structural econometric model. From there, the book covers the identification problem, maximum likelihood methods, two and three stage least square methods, the general nonlinear model, and more advanced topics such as the general nonlinear simultaneous equations model. The reader is assumed to have a basic background in probability theory but otherwise this account is self-contained.