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. 387 zations. The second includes: two-stage least squares; limited- information maximum likelihood; the other members of Theil’s k-class; Theil’s h-class; and Nagar’s double k-class (2). All the estimators in this group have the common property that whereas (unlike ordinary least squares) they take account of the simultaneous nature (if any) of the equations in the model to be estimated, they use only a priori restrictions on one equation at a time. Accordingly, we shall call such estimators « limited information » methods. The last class of estimators consists of those methods which do use information on all equa- tions at once, what we shall term « full information » methods Among these, of course, is full-information maximum likeli- hood, but the class also contains A. ZELLNER and H. THEIL’s three-stage least squares, an estimator recently proposed by T.J. ROTHENBERG and C.T. LEENDERS called « linearized maximum likelihood », and the simultaneous least squares estimator of T.M. Brown (3). In principle, all of the above estimators make use of all exogenous and lagged endogenous variables in the model as predetermined instruments. As indicated above, for reasons to be discussed below, this cannot always be done or is not always desirable, and in such cases other methods which so employ only some of the exogenous or lagged endogenous variables must be used. We shall discuss the problems raised in such situations below, observing here only that, given the choice of variables to be treated as predetermined, most of the estimators just classified have exact counterparts in such circumstances. (?) See THEIL [32, pp. 353-354] and Nacar [23]. ‘\ See ZELLNER and THEIL [37]. ROTHENBERG and LEENDERS [26j, and [M Brown (TF bi Fisher - pag. 3

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