Simultaneous equations estimation: Computational aspects

Abstract In this paper the problem of estimating the parameters of economic models is studied from a computational point of view. Because the user of software packages may not know the limitations of computer arithmetic, we are concerned with using the best numerical techniques and with specifying just what numerical error information such a package for simultaneous estimation should return to the user. Also because models can become large it is necessary to look for ways of conserving space. Several techniques for three stage least squares are summarized which take into account limitations of space and accuracy.