Study week on the econometric approach to development planning

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Monograph

Identifikator:: 1824422792

URN:: urn:nbn:de:zbw-retromon-217476

Document type:: Monograph

Title:: Study week on the econometric approach to development planning

Place of publication:: Amsterdam [u.a.]

Publisher:: North-Holland Publ. Co. [u.a.]

Year of publication:: 1965

Scope:: XLVII, 1259 S.; graph. Darst.

Digitisation:: 2022

Collection:: Economics Books

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Document type:: Monograph

Structure type:: Chapter

Title:: Dynamic structure and estimation in economy-wide econometric models / FranklinM. Fisher, Massachuetts Institute of Technology - Cambridge, Mass. - U.S.A.

Collection:: Economics Books

SEMAINE D ETUDE SUR LE ROLE DE L ANALYSE ECONOMETRIQUE ETC. TLS the terms in the expansion for W(1) to be negligible for : greater than some value, perhaps for 6>1. All this, however, has leaned a bilt heavily on the stability of DB. If that matrix has a latent root greater than unity in absolute value, then part of the reason for assuming that the right-hand side of (5.25) is negligible even for high values of 9 has disappeared. Of course, it is the case that the diagonal elements of A are known to be less than unity in absolute value, so that the infinite sum involved in W(1) may still con- verge. However, such convergence is likely to be slow in an unstable case and may not occur at all, so that the effects of serial correlation are even more serious than in the stable case. Clearly, the stability assumption requires additional discussion at this point. The usual reason for assuming stability of the dynamic model being estimated is one of convenience or of lack of knowledge of other cases. Since the unstable case tends to lead to unbounded moment matrices, the usual proofs of consistency of the limited-information estimators tend to break down in that circumstance. Indeed, maximum-likelihood estimators are presently known to be consistent only in the stable case and in rather special unstable cases (*). It is therefore customary to assume stability in discussions of this sort. For present pur- poses, even if limited-information estimators are consistent in unstable cases and even if the Generalized Proximity Theorems which guarantee small inconsistencies for sufficiently good approximations also hold (¥), the approximations which we are now discussing are relatively unlikely to be good ones in such cases. Even if the existence of W(1) is secured by as- suming that the dynamic process (2.1) begins with non-stoch- astic initial conditions at some finite time in the past (and even (*) For example, if all latent roots are greater than unity in absolute value. See ANDERSON [1]. J. D. SarGaN has privately informed me that he has constructed a proof of consistency for the general case. The classic paper in this area is that of MANN and Warp [21] (47) See FrisHeEr [8 v| Fisher - pag. 36

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