Stima delle equazioni simultanee non-lineari: una rassegna

Calzolari, Giorgio (1992): Stima delle equazioni simultanee non-lineari: una rassegna. Published in: Atti della XXXVI Riunione Scientifica della Societa' Italiana di Statistica , Vol. 1, No. Roma: CISU-Centro d'Informazione e Stampa Universitaria (April 1992): pp. 447-458.

Abstract

This paper is a survey (in Italian) of the estimation methods for econometric systems of nonlinear simultaneous equations

• Item Type: MPRA Paper
• English Title: Estimation of nonlinear simultaneous equations: a survey
• Language: Italian
• Keywords: Econometric models; simultaneous equations; nonlinear models; estimation methods; survey
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General

References

Amemiya. T. (1974): "The Nonlinear Two-Stage Least-Squares Estimator". Journal of Econometrics 2, 105-110

Amemiya, T. (1975): "The Nonlinear Limited-Information Maximum-Likelihood Estimator and the Modified Nonlinear Two-Stage Least-Squares Estimator". Journal of Econometrics 3, 375-386

Amemiya, T. (1977): "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares in the General Nonlinear Simultaneous Equation Model". Econometrica 45, 955-968.

Amemiya, T. (1982): Correction to a Lemma". Econometrica 50, 1325-1328

Amemiya, T. (1983): "Non-linear Regression Models", in Handbook of Econometrics, ed. by Z. Griliches and M. D. Intriligator. Amsterdam: North-Holland Publishing Company, Vol. l, 333-389

Amemiya, T. (1985): Advanced Econometrics. Oxford: Basil Blackwell Ltd.

Anderson, T. W., M. Kunitomo, and T. Sawa (1982): "Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator". Econometrica 50, 1009-1027.

Andrews, D. W. K. (1988): "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables". Econometric Theory 4, 458-467.

Angeloni, I., C. Bianchi, G. Bruno e A, Cividini (1991): "Stima Simultanea del Modello Monetario Mensile della Banca d'Italia: Problemi Econometrici e Primi Risultati Empirici". Roma: Banca d'ltalia, Ricerche Applicate e Modelli per la Politica Economica, numero speciale dei Contributi all'Analisi Economica (in corso di stampa).

Artus, P., M. Deleau, and P. Malgrange (1986): Modelisation Macroeconomique. Paris: Economica.

Berndt, E. K., B. H. Hall, R. E. Hall, and J. A. Hausman (1974): "Estimation and Inference in Nonlinear Structural Models". Annals of Economic and Social Measurement 3, 653-665.

Belsley, D. A. (1979): "On the Computational Competitiveness of Full-Information Maximum-likelihood and Three-Stage Least-Squares in the Estimation of Nonlinear, Simultaneous-Equations Models". Journal of Econometrics 9, 315-342.

Belsley, D. A. (1980): "On the Efficient Computation of the Nonlinear Full-Information Maximum-likelihood Estimator". Journal of Econometrics 14, 203-225.

Bianchi, C., J. L. Brillet, and G. Calzolari (1987): "Measuring Forecast Uncertainty: A Review with Evaluation Based on a Macro Model of the French Economy". International Journal of Forecasting 3, 211-227.

Bierens, H. J. (1982): "A Untiform Weak Law of Large Numbers under phi-mixing with Applications to Nonlinear Least Squares". Statistica Neerlandica 36, 81-86.

Bowden, R. J. and D A. Turkington (1984): Instrumental Variables. Cambridge University Press, Econometric Society Monographs in Ouantitative Economics.

Brown, B. W. (1983): "The Identification Problem in Systems Nonlinear in the Variables". Econometrica 51, 175-196.

Brown, B. W. (1990): "Simulation-Based Semiparametric Estimation and Prediction in Nonlinear Systems" Houston: Rice Universily. discussion paper presented al the 6th World Congress of the Econometric Society, Barcelona.

Brown, B. W. and R. S. Mariano (1984): "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System. Econometrica 52. 321-343

Brundy, J. M., and D. W. Jorgenson (1971): "Efficient Estimation of Simultaneous Equations by Instrumental Variables". The Review of Economics and Statistics 53, 207-224.

Burguete, J. F., A. R. Gallant, and G. Souza (1982): "On Unification of the Asymptotic Theory for Nonlinear Econometric Models". Econometric Reviews 1, 151-190.

Calzolari. G.. and L. Panattoni (1988): "Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study". Econometrica 56, 701-714.

Calzolari. G., L. Panattoni, and C Weihs (1987): "Computational Efficiency of FIML Estimation". Journal of Econometrics 36, 299-310.

Calzolari. G.. and L. Sampoli (1992): "A Curious Result on Exact FIML and Instrumental Variables". Universita' di Firenze: Dipartimento Statistico, mimeo.

Chamberlain. G. (1987): "Asymptotic Efficiency in Estimation with Conditional Moment Restrictions". Journal of Econometrics 34, 305-334

Chernoff. H. and N. Divinsky (1953): "The Computation of Maximum-Likelihood Estimates of Linear Structural Equations", in Studies In Econometric Method, ed. by W. C Hood and T. C. Koopmans. New York: John Wiley & Sons. Inc., Cowles Commission Monograph No. 14.236-302.

Dagenais. M. G. (1978): "The Computation of FIML Estimates as Iterative Generalized Least Squares Estimates in Linear and Nonlinear Simultaneous Equations Models". Econometrica 46.1351-1362.

Davidson. J. (1985): "Some Evidence on the Robustness of Nonlinear FIQML". London School of Economics, discussion paper.

Domowitz. I.. and H. White (1982): "Misspecified Models with Dependent Observations". Journal of Econometrics 20, 35-58.

Durbin, J. (1963, 1988): "Maximum Likelihood Estimation of the Parameters of a Syslem of Simultaneous Regression Equations". London School of Economics: discussion paper presented al The European Meeting of the Econometric Society, Copenhagen. Econometric Theory 4, 159-170.

Dhrymes, P. J. (1971): "A Simplified Structural Estimator for Large-Scale Econometric Models". Australian Journal of Statistics 13, 168-175,

Dutta, M. and E. Lyttkens (1974): "Iterative Instrumental Variables Method and Estimation a Large Simultaneous System". Journal of the American Statistical Association 69, 977-986.

Eisenpress, H. and J. Greenstadt (1966): "The Estimation of Nonlinear Econometric Systems". Econometrica 34, 851-86l.

Faliva, M. (1987): Econometria: Principi e Metodi. Torino: UTET.

Gallant, A. R. (1977): "Three-Stage Least-Squares Estimation for a System or Simultaneous, Nonlinear, Implicit Equations". Journal of Econometrics 5,71-88

Gallant, A.R., and H. Holly (1980): "Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context or Maximum Likelihood Estimation". Econometrica 48, 697-720.

Gallant, A.R, and H. White (1987): A Unified Theory or Estimation and Inference for Nonlinear Dynamic Models. Oxford: Basil. Blackwell.

Gourieroux, C, and A. Monfort (1991): "Simulation Based Inference in Models with Heterogeneity". Annales d'Economie et de Statistique 20/21, 69-107.

Gourieroux, C., A. Monfort, and A. Trognon (1984): "Pseudo Maximum Likelihood Methods: Theory". Econometrica 52, 681-700.

Hansen, L. P. (1982): "Large Sample Properties of Generalized Method of Moments Estimators". Econometrica 50, 1029-1054.

Hatanaka, M. (1978): "On the Efficient Estimation Methods for the Macro-Economic Models Nonlinear in Variables". Journal of Econometrics 8, 323-356.

Hausman, J. A. (1974) "Full Information Instrumental Variables Estimation or Slmultaneous Equations Systems". Annals of Economic and Social Measurement 3, 641-652.

Hausman, J. A. (1975): "An Instrumental Variable Approach lo Full Information Estimators for Linear and Certain Nonlinear Econometric Models". Econometrica 43, 727-738.

Hausman, J, A. (1983): "Specification and Estimation of Simultaneous Equation Models', in Handbook of Econometrics, ed. by Z. Griliches and M. D. Intriligator. Amsterdam, North-Holland Publishing Company, Vol.l, 391-448.

Hausman, J. A., W. K. Newey, and W. E. Taylor (1987): "Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions". Econometrica 55. 849-874.

Jorgenson, D. W., and J, Laffont (1974): "Efficient Estimation of Nonlinear Simultaneous Equations with Additive Disturbances". Annals of Economic and Social Measurement 3, 615-640.

Kelejian, H. (1971): "Two-Stage Least Squares and Econometric Systems Linear in Parameters and Nonlinear in Endogenous Variables". Journal of the American Statistical Association 66, 373-374.

Klein, L. R. (1983): Lectures in Econometrics. Amsterdam: North-Holland Publishing Company.

Laroque, G., and B. Salanie (1989): "Estimation of Multimarket Fix-Price Models: An Application of Pseudo-Maximum Likelihood Methods". Econometrica 57, 831-860.

Lee, B. S., and B. F. Ingram (1991): "Simulation Estimation of Time-Series Models". Journal of Econometrics 47, 197-205.

Lyttkens, E. (1974): "The Iterative Instrumental Variables Method for Estimating Interdependent Systems". Journal of Multivariate Analysis 4, 283-307.

Maddala, G. S. (1981): "Statistical Inference in Relation to the Size of the Model", in Large-Scale Macro-Econometric Models, ed. by J. Kmenta and J. B. Ramsey. Amsterdam: North-Holland Publishing Company, 191-218.

Malgrange, P. (1981): "Note sur le Calcul des Valeurs Propres d'un Modèle Macroeconomique". Annales de l'INSEE 41, 61-77.

Mariano, R. S. (1982): "Analytical Small Sample Distribution Theory in Econometrics: The Simultaneous Equations Case". International Economic Review 23, 503-533.

McFadden, D. (1989): "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration". Econometrica 57, 995-1026.

Mellander, E. (1983): "A General FIML Estimator for.a Certain Class of Models that are Nonlinear in the Variables". Stockholm: The Industrial Institute for Economic and Social Research, discussion paper presented al the European Meeting of the Econometric Society, Pisa.

Newey. W. K. (1990a): "Semiparametric Efficiency Bounds". Journal of Applied Econometrics 5, 99-135.

Newey, W. K. (1990b): "Efficient Instrumental Variables Estimation of Nonlinear Models". Econometrica 58, 809-837.

Pagan A. (1990): Simultaneous Equations: Estimation and Inference. Bologna: Dispense del Centro Interuniversitario di Econometria (CIDE).

Pakes. A. and D. Pollard (1989): "Simulation and the Asymptotics of Optimization Estimators". Econometrica 57, 1027-1057.

Parke. W. R. (1982): "An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models". Econometrica 50, 81-95.

Phillips, P. C. B. (1982): "On the Consistency of Nonlinear FIML". Econometrica 50, 1307-1324.

Poetscher, B. M.. and I. R. Prucha (1991): "Basic Structure of the Asymplotic Theory in Dynamic Nonlinear Econometric Models. Part I: Consistency and Approximation Concepts". Econometric Reviews 10, 125-216.

Rilstone. P. (1991): "Using Auxiliary Regressions for More Efficient Estimation of Nonlinear Models". Quebec: Universite Laval. discussion paper presented at the European Meeting of the Econometric Society, Cambridge.

Robinson. P. M. (1988a): "Semiparametric Econometrics: A Survey". Journal of Applied Econometrics 3, 35-51.

Robinson. P. M. (1988b): "The Stochastic Difference between Econometric Statistics". Econometrica 56, 531-548.

Robinson. P. M. (1991): "Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models". Econometrica 59, 755-786.

Rothenberg, T. J., and P. A. Ruud (1990): "Simultaneous Equations with Covariance Restrictions". Journal of Econometrics 44, 25-39.

Toedter. K. H. (1990): "Structural Estimation and Stochastic Simulation of Large Models with Undersized Samples". Frankfurt: Deutsche Bundesbank, Research Department, discussion paper.

White. H. (1982): "Maximum Likelihood Estimation of Misspecified Models". Econometrica 50, 1-25.

White. H. (1983): "Corrigendum". Econometrica 51, 513.

White, H. (1984): Asymptotic Theory for Econometricians. Orlando: Academic Press Inc.

White, H.. and I. Domowitz (1984): "Nonlinear Regression with Dependent Observations". Econometrica 52, 143-161.