FIML Estimation of Rational Distributed Lag Structural Form Models / Kent D. Wall.

Format:

Book

Author/Creator:

Wall, Kent D.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0077.

NBER working paper series no. w0077

Language:

English

Subjects (All):

Econometric models.

Econometrics.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1975.

Cambridge, Massachusetts : National Bureau of Economic Research, 1975.

Summary:

The Rational Distributed Lag Structural Form (RSF) representation of an econometric model is introduced and its relationship to several standard forms of representation is discussed. The FIML estimation problem for the RSF is then considered and formulated as a nonlinear, unconstrained optimization problem. A solution to the relation optimization problem is then obtained by an application of the Davidon-Fletcher-Powell variable metric method using simple first difference approximations for the necessary gradients. This approach requires a minimum of effort on the part of the model builder since there is no longer any need to analytically determine, and then program, the gradient expressions. The feasibility of the method is demonstrated with several examples.

Notes:

Print version record

March 1975.