In this paper we consider a class of the GMM estimators for a linear simultaneous equation model with panel data. The model is characterized by the presence of unobserved individual effects as part of structural disturbances and by the correlation of certain time-varying and time-invariant exogenous variables with the individual effects. A class of single-equation and system GMM estimators is proposed on the basis of a class of instruments as a unifying theme. Small-sample performance of this class of estimators is also investigated by a series of sampling experiments.

Additional Metadata
Keywords Panel data, simultaneous equations, fixed effects
JEL Estimation (jel C13), Models with Panel Data (jel C23)
Publisher Department of Economics
Series Carleton Economic Papers
Park, Soo-Bin. (2005). Estimating a Linear Simultaneous Equation Model with Panel Data (No. CEP 05-06). Carleton Economic Papers. Department of Economics.