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

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

Collection:: Economics Books

394 PONTIFICIAE ACADEMIAE SCIENTIARVM SCRIPTA VARIA - 28 2.3. Recursive Systems in Economy-wide Models Are the assumptions of the recursive model just discussed likely to be valid for an economy-wide econometric model? In general, the answer appears to be in the negative. In the first place, the argument for the triangularity of A that causation takes place sequentially in time (which, inciden- tally, would imply diagonality) is not conclusive if the data are collected as averages over a much longer period than the causal interval involved. It may be true that simultaneous structures are but approximations to underlying recursive ones with very short time lags; this does not make the matrices in- volved triangular, however, whatever it implies about appro- priate estimators (19). Even if triangularity of the A matrix is satisfied in an economy-wide model, however, the other conditions discussed are unlikely to be fulfilled. Even the best specified econometric models inevitably omit variables the effects of which then enter the disturbance terms. If the model is well specified, these effects will not be large and systematic, rather they will be small and random. Even so, the omitted variables appearing in the disturbances cannot all generally be expected to be dif- ferent ones for different equations. Indeed, one expects there to be some events which act as shocks on many or all the equa- tions in an economy-wide model. Such action may indeed be of different magnitudes for different equations, but it is surely extremely restrictive to assume zero correlation among the (1) StroTz [30] considers a model in which the variables are observed at discrete intervals longer than a short causal period which is allowed to approach zero — a problem not quite the same as that considered in the text. He argues that the usual estimators are not approached in the limit by the maximum likelihood estimator of his model. The status of the argument is presently in some doubt as Gorman [11] has suggested that « natural » assumptions on the continuity of the stochastic process generat- ing the disturbances do lead to the usual estimators in the limiting case nf simultaneitv. 6 Fisher - pag. 10

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