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Month: August 2022

Indirect Least Squares

An estimation method used in the fitting of structural equation models. Ordinary least squares is first used to estimate the reduced form parameters. Using the relations between structural and reduced form parameters it is subsequently solved for the structural parameters in terms of the estimated reduced form parameters. Indirect least squares estimates are consistent but […]

Incidental Parameter Problem

A problem that sometimes arises when the number of parameters increases in tandem with the number of observations. For example, models for panel studies may include individual-specific fixed intercepts, called “incidental parameters”, in addition to the “structural parameters” of interest, making the number of parameters tend to infinity as the number of individuals tends to […]