A least-squares model specification test for a class of dynamic nonlinear economic models with systematically varying parameters

DOI10.1007/BF00934039zbMath0419.90032OpenAlexW2259765271MaRDI QIDQ1132732

S. H. Smith

Publication date: 1980

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00934039

zbMATH Keywords

rational expectationsinvariant imbeddingstructural instabilitydynamic nonlinear economic modelsleast-squares measuresequential solutionsimultaneously testingsystematically varying parameters

Mathematics Subject Classification ID

Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items (11)

Sequential nonlinear estimation with nonaugmented priors ⋮ A multicriteria approach to model specification and estimation ⋮ The flexible least squares approach to time-varying linear regression ⋮ Nonlocal sensitivity analysis, automatic derivative evaluation, and sequential nonlinear estimation ⋮ Deterministic chaos and fractal attractors as tools for nonparametric dynamical econometric inference: With an application to the Divisia monetary aggregates ⋮ Time-varying linear regression via flexible least squares ⋮ An organizing principle for dynamic estimation ⋮ A sequential method for nonlinear filtering: Numerical implementation and comparisons ⋮ A note on flexible least squares ⋮ Exact sequential filtering, smoothing and prediction for nonlinear systems ⋮ Individual tracking of an eigenvalue and eigenvector of a parameterized matrix

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