Identification and estimation in econometric systems: A survey

This is an introductory survey of some of the ideas and methods in the identification and estimation of simultaneous equation systems in econometrics. After pointing out the special features of econometric systems, it defines the problem of identification and presents several methods for estimating the parameters in such systems. Hopefully such a survey will be useful to research workers in related fields including control engineering and statistics who are interested in the estimation of dynamic systems and wish to find out whether the works of econometricians are relevant to their own research. This is not a substitute for a treatise in econometrics, but it may help a researcher in a related field decide whether the techniques developed for dynamic econometric systems are useful for his purpose, whether he should study them in depth, and whether he can contribute to improving them. Some research topics will be suggested later in our discussion.