Abstract
A reading of Chapters 4 and 5 might suggest that, in the context of KK systems, the problem of choosing an estimator would be reasonably straightforward. The asymptotic results presented in Chapter 4 imply a clear ranking of available estimators, the FISEs being superior, in terms of asymptotic properties, to the LISEs, and these in turn being superior to the SIEs. Furthermore, as we saw in section 5.3, this ranking is not upset when the finite-sample results generated by the available Monte Carlo studies are taken into account. It would seem, then, that in choosing an estimator the KK system-builder should consider only the FISEs or at most the FISEs and the LISEs.
This is a preview of subscription content, log in via an institution to check access.
Preview
Unable to display preview. Download preview PDF.
References and further reading
Amemiya, T. (1966) ‘Specification Analysis in the Estimation of Parameters of a Simultaneous Equation Model with Autoregressive Residuals’, Econometrica, vol. 34, pp. 283–306.
Amemiya, T. (1974) ‘The Nonlinear Two-Stage Least-Squares Estimator’, Journal of Econometrics, vol. 2, pp. 105–10.
Amemiya, T. (1975) ‘The Nonlinear Limited-Information Maximum-Likelihood Estimator, and the Modified Nonlinear Two-Stage Least-Squares Estimator’, Journal of Econometrics, vol. 3, pp. 375–86.
Amemiya, T. (1977) ‘The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model’, Econometrica, vol. 45, pp. 955–68.
Bailey, R.E., Hall, V.E. and Phillips, P.C.B. (1979) ‘A Model of Output, Employment and Inflation in an Open Economy’, paper to the 49th ANZAAS Congress, Auckland.
Belsley, D.A. (1979) ‘On the Computational Competitiveness of Full-Information Maximum-Likelihood and Three-Stage Least-Squares in the Estimation of Nonlinear, Simultaneous-Equations Models’, Journal of Econometrics, vol. 9, pp. 315–42.
Brown, B.W. (1981) ‘Sample Size Requirements in Full Information Maximum Likelihood Estimation’, International Economic Review, vol. 22, pp. 443–59.
Challen, D.W. and Hagger, A.J. (1979) Modelling the Australian Economy, Longman-Cheshire, Melbourne.
Data Resources (1976) The Data Resources National Economic Information System, North-Holland, Amsterdam.
Department Of The Treasury (1981) The NIF-10 Model of the Australian Economy, Australian Government Publishing Service, Canberra.
Evans, M.K., Klein, L.R. and Schink, G.R. (1968) The Wharton Econometric Model, 2nd edn., Studies in Quantitative Economics No 2, University of Pennsylvania.
Fair, R.C. (1970) ‘The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Correlated Errors’, Econometrica, vol. 38, pp. 507–16.
Fisher, F.M. (1965) ‘Dynamic Structure and Estimation in Economy-Wide Econometric Models’, in J. S. Duesenberry et al., The Brookings Quarterly Econometric Model of the United States, Rand McNally, Chicago.
Giles, D.E.A. (1973) Essays on Econometric Topics: From Theory to Practice, Research Paper No. 10, Reserve Bank of New Zealand, Wellington.
Giles, D.E.A. and Morgan, G.H.T. (1977) ‘Alternative Estimates of a Large New Zealand Econometric Model’, New Zealand Economic Papers, vol. 11, pp. 52–67.
Goldberger, A.S. (1968) Topics in Regression Analysis, Macmillan, New York.
Goldfeld, S.M. and Quandt, R.E. (1972) Nonlinear Methods in Econometrics, North-Holland, Amsterdam.
Hendry, D.F. (1974) ‘Stochastic Specification in an Aggregate Demand Model of the United Kingdom’, Econometrica, vol. 42, pp. 559–78.
Hendry, D.F. (1975) ‘The Consequences of Mis-Specification of Dynamic Structure, Autocorrelation, and Simultaneity, in a Simple Model with an Application to the Demand for Imports’, in G. A. Renton (ed.), Modelling the Economy, Heinemann, London.
Hendry, D.F. (1976) ‘The Structure of Simultaneous Equations Estimators’, Journal of Econometrics, vol. 4, pp. 51–88.
Hendry, D.F. and Mizon, G.E. (1978) ‘Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England’, Economic Journal, vol. 88, pp. 549–63.
Intriligator, M.D. (1978) Econometric Models, Techniques and Applications, Prentice-Hall, Englewood Cliffs, N.J.
Johnston, J. (1972) Econometric Methods, 2nd edn., McGraw-Hill, New York.
Jonson, P.D., Moses, E.R. and Wymer, C.R. (1977) ‘The RBA76 Model of the Australian Economy’, in W. E. Norton (ed.), Conference in Applied Economic Research, Reserve Bank of Australia, Sydney.
Jorgenson, D. and Laffont, J. (1974) ‘Efficient Estimation of Non-Linear Simultaneous Equations with Additive Disturbances’, Annals of Economic and Social Measurement, vol. 3, pp. 615–40.
Kelejian, H.H. (1971) ‘Two-Stage Least Squares and Econometric Systems Linear in Parameters but Non-linear in the Endogenous Variables’, Journal of the American Statistical Association, vol. 66, pp. 373–4.
Klein, L.R. (1973) ‘The Treatment of Undersized Samples in Econometrics’, in A. A. Powell and R. A. Williams (eds), Econometric Studies of Macro and Monetary Relations, North-Holland, Amsterdam.
Kloeck, T. and Mennes, L.B.M. (1960) ‘Simultaneous Equations Based on Principal Components of Predetermined Variables’, Econometrica, vol. 28, pp. 45–61.
Kmenta, J. (1971) Elements of Econometrics, Macmillan, New York.
Knight, M.D. and Wymer, C.R. (1976) ‘A Monetary Model of an Open Economy with Particular Reference to the United Kingdom’, in M. J. Artis and A. R. Nobay (eds), Essays in Economic Analysis, Cambridge University Press, Cambridge.
Latter, A.R. (1979) Bank of England Model of the UK Economy, Bank of England Discussion Paper No. 5, London.
Maddala, G.S. (1971) ‘Simultaneous Estimation Methods for Large- and Medium-Size Econometric Models’, Review of Economic Studies, vol. 38, pp. 435–45.
Mccarthy, M.D. (1971) ‘Notes on the Selection of Instruments for Two Stage Least Squares and k-Class Type Estimators of Large Models’, Southern Economic Journal, vol. 37, pp. 251–9.
Mccarthy, M.D. (1972) The Wharton Quarterly Econometric Forecasting Model Mark III, Studies in Quantitative Economics No. 6, University of Pennsylvania.
Maxwell, T. (1978) ‘A Primer on RDX2’, Bank of Canada Review, January, pp. 3–10.
Nehlawi, J.E. (1977) ‘Consistent Estimation of Real Econometric Models with Undersized Samples: A Study of the TRACE (Mk IIIR) Econometric Model of the Canadian Economy’, International Economic Review, vol. 18, pp. 163–79.
Salmon, M.H. and Eaton, J.R. (1975) ‘Estimation Problems in Large Econometric Models: An Application of Various Estimation Techniques to the London Business School Model’, in G. A. Renton (ed.), Modelling the Economy, Heinemann, London.
Sargan, J.D. (1961) ‘The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals’, Econometrica, vol. 29, pp. 414–26.
Waelbroeck, J.L. (1976) The Models of Project LINK, North-Holland, Amsterdam.
Wymer, C.R. (1978) ‘Continuous Time Models in Macroeconomics: Specification and Estimation’, in A. Swoboda, M. Mussa and C. R. Wymer (eds), Macroeconomic Policy and Adjustment in Open Economies, Proceedings of SSRC Conference, Ware, England.
Yoshitomi, M., Kato, H., Sakuma, T., Masumoto, H. and Arai, K. (1980) Japan: Econometric Model for Short-Term Prediction, EPA World Econometric Model, Discussion Paper No. 1, Economic Research Institute, Economic Planning Agency, Tokyo.
Copyright information
© 1983 D.W. Challen and A.J. Hagger
About this chapter
Cite this chapter
Challen, D.W., Hagger, A.J. (1983). From Theory to Practice: The Choice of Estimator. In: Macroeconometric Systems. Palgrave, London. https://doi.org/10.1007/978-1-349-27931-9_6
Download citation
DOI: https://doi.org/10.1007/978-1-349-27931-9_6
Publisher Name: Palgrave, London
Print ISBN: 978-0-333-31084-7
Online ISBN: 978-1-349-27931-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)