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NATIONAL BUREAU OF ECONOMIC RESEARCH
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Alain Monfort

ENSAE

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Institutional Affiliation: ENSAE

NBER Working Papers and Publications

May 1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
with C. Gourieroux, Jean-Jacques Laffont: w0343
In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and pr...

Published: Gourieroux, C., J. J. Laffont, and A. Monfort. "Coherency Conditions In Simultaneous Linear Equation Models with Endogenous Switching Regimes." Econometrica, Vo. 48, No. 1, (1980), pp. 75-96. citation courtesy of

 
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