Estimation of Econometric Model Using Nonlinear Full Information Maximum Likelihood: Preliminary Computer Results / David A. Belsley, Kent D. Wall.

Format:

Book

Author/Creator:

Belsley, David A.

Contributor:

National Bureau of Economic Research.

Wall, Kent D.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0142.

NBER working paper series no. w0142

Language:

English

Subjects (All):

Econometric models.

Econometric models--Computer programs.

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Estimation of Econometric Model Using Nonlinear Full Information Maximum Likelihood

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1976.

Cambridge, Mass. : National Bureau of Economic Research, 1976.

Summary:

This working paper provides some preliminary results on the computational feasibility of nonlinear full information maximum likelihood (NECML) estimation. Severa1 of the test cases presented were also subjected to nonlinear three stage least square (NLBSLS) estimation in order to illustrate the relative performance of the two estimation techniques. In addition, certain other aspects central to practical implementation are highlighted. These include the effect of various computers on the efficiency of the code, as well as the relative merits of numerical and analytical generation of gradient information. Broadly speaking, NLFIML appears competitive in cost and superior in statistical properties to NL3SLS.

Notes:

Print version record

July 1976.