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FIML estimation of rational distributed lag structural form models

Author: Kent D Wall; National Bureau of Economic Research.
Publisher: New York, N.Y. : Computer Research Center for Economics and Management Science, National Bureau of Economic Research, 1975.
Series: Working paper series (National Bureau of Economic Research), working paper no. 77.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Kent D Wall; National Bureau of Economic Research.
OCLC Number: 60340758
Notes: "March 1975."
Title from PDF file as viewed on 4/30/2005.
Description: 1 online resource (51 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 77.
Responsibility: Kent D. Wall.

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"--NBER website.

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