On the computational competitiveness of full-information maximum- likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models
From MaRDI portal
Publication:1259131
DOI10.1016/0304-4076(79)90077-0zbMath0409.62107OpenAlexW2095582746MaRDI QIDQ1259131
Publication date: 1979
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(79)90077-0
Computational CompetitivenessEstimation of Nonlinear Simultaneous-Equations ModelsFull-Information Maximum-LikelihoodThree-Stage Least-Squares
Applications of statistics to economics (62P20) Numerical computation of solutions to systems of equations (65H10) Algorithms for approximation of functions (65D15) Probabilistic methods, stochastic differential equations (65C99)
Related Items
The behavior of trust-region methods in FIML-estimation, On the efficient computation of the nonlinear full-information maximum- likelihood estimator, Full-information estimates of a nonlinear macroeconometric model
Cites Work
- Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations
- The structure of simultaneous equations estimators
- A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation
- The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals
- The exact likelihood function for a mixed autoregressive-moving average process
- A Comparative Monte Carlo Study of the Properties of Econometric Estimators
- Computation of the exact likelihood function of an arima process
- Quasi-Newton Methods, Motivation and Theory
- The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model
- On Certain Small Sample Properties of k-Class Estimators
- A Rapidly Convergent Descent Method for Minimization
- The Estimation of Nonlinear Econometric Systems
- Calculating the Singular Values and Pseudo-Inverse of a Matrix
- Comparison of Gradient Methods for the Solution of Nonlinear Parameter Estimation Problems
- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item