Neoclassical econometries: The kernel

DOI10.1016/0022-247X(88)90208-9MaRDI QIDQ1098537zbMATH OpenFDO

Authors Michael J. Hartley

Publication date 1988

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-247X(88)90208-9

zbMATH Keywords

additive normally distributed errorsdeterministic modelsmissing dataoptimization problemsprofit-maximizing firmregression-based stochastic modelsstatic equality-constrained neoclassical modelsutility-maximizing household

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Trade models (91B60)

Review text

The paper considers the problem of determining the parameters in static equality-constrained neoclassical models frequently encountered in economic analysis. These include the utility-maximizing household, subject to income and time constraints; and the profit-maximizing firm, subject to a given technology. The approach applies equally to the traditional (regression-based) stochastic econometric model (with additive normally distributed errors) or to a deterministic analog, where the ``distance between the actual data and model solutions for the agents' decisions is minimized. Conventional econometric practice is extended in that closed-form, analytic solutions for the decision functions are not required; and essentially arbitrary configurations of available data are permitted. The computer is employed to jointly: (1) solve the agents' optimization problems, (2) impute missing data, and (3) determine whether there is sufficient information in the available data set to uniquely calibrate or estimate the model's parameters.

Recommendations

• Calibration of macroeconomic models with incomplete data—A systems approach
• A systems approach to the calibration of deterministic dynamic nonlinear simultaneous equation models with incomplete data
• scientific article; zbMATH DE number 970016
• Estimation with inequality constraints on parameters and truncation of the sampling distribu\-tion
• Calibration as estimation

Cites work

• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Calibration of macroeconomic models with incomplete data—A systems approach
• Flexible Functional Forms and Global Curvature Conditions
• scientific article; zbMATH DE number 3902479 (Why is no real title available?)
• scientific article; zbMATH DE number 3928227 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• Imposing curvature restrictions on flexible functional forms
• Least squares, singular values and matrix approximations
• Maximum Likelihood Estimation from Incomplete Data
• Neoclassical econometries: The kernel
• The Modified Gauss-Newton Method for the Fitting of Non-Linear Regression Functions by Least Squares

Cited in

(3)

• Neoclassical econometries: The kernel
• Newtonian Microeconomics
• Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace

This page was built for publication: Neoclassical econometries: The kernel

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1098537)