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. 44 ables as instruments in the regressions for different endogenous variables in the same equation may result in a situation in which the longest lag involved in one such regression is greater than that involved in others. If data are only available from an initial date, this means that using the regressions as estim- ated involves eliminating some observations at the beginning of the period that would be retained if the longest-lagged instru- ment were dropped. In this case some balance must be struck between the gain in efficiency from extra observations and the loss from disregarding causal information if the lagged instru- ment in question is dropped. It is hard to give a precise guide as to how this should be done. (My personal preference would be for retaining the instrument in most cases.) Such circum stances will fortunately be relatively infrequent as the periods of data collection generally begin further back than those of estimation, at least in models of developed economies. Further, the reduction in available observations attendant on the use of an instrument with a large lag renders it unlikely that the introduction of that instrument adds significantly to correlation. Finally, the use of different instruments in the regressions replacing different endogenous variables in the equation to be estimated reintroduces the problem of inconsistency. When the equation to be estimated is rewritten with calculated values replacing some or all of the variables, the residual term includes not only the original structural disturbance but also a linear combination of the residuals from the regression equations used in such replacement. When the equation is then estimated by regressing the left-hand variable on the calculated right-hand ones and the instruments explicitly appearing, consistency re- quires not only zero correlation in the probability limit between the original disturbance and all the variables used in the final regression but also zero correlation in the probability limit between the residuals from the earlier-stage regression equa- tions and all such variables. If the same set of instruments is used when replacing every right-hand endogenous variable 6] Fisher - pag. 57

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