FIML Estimation of Rational Distributed Lag Structural Form Models
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Authors
Wall, Kent D.
Subjects
Advisors
Date of Issue
1975-03
Date
March 1975
Publisher
SSRN
Language
en_US
Abstract
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.
Type
Working Paper
Description
NBER Working Paper No. 77
The article of record as published may be found at http://dx.doi.org/10.3386/w0077
The article of record as published may be found at http://dx.doi.org/10.3386/w0077
Series/Report No
Department
Organization
Naval Postgraduate School
Identifiers
NPS Report Number
Sponsors
Funder
Format
29 p.
Citation
Wall, Kent D., FIML Estimation of Rational Distributed Lag Structural Form Models (March 1975). NBER Working Paper No. w0077.
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.