2 edition of **Evaluation of the recursive fix-point method for the Dutch 69-C econometric annual model** found in the catalog.

Evaluation of the recursive fix-point method for the Dutch 69-C econometric annual model

A. A. van der Giessen

- 89 Want to read
- 13 Currently reading

Published
**1973** by Central Planning Bureau in [The Hague .

Written in English

- Netherlands
- Fix-point estimation.,
- Netherlands -- Economic conditions -- Econometric models.

**Edition Notes**

Bibliography: p. 37.

Statement | by A. A. van der Giessen. |

Series | Occasional papers - Central Planning Bureau ; no. 10, Occasional papers (Netherlands. Centraal Planbureau) ;, no. 10. |

Contributions | International Statistical Institute. |

Classifications | |
---|---|

LC Classifications | HC323 .G53 |

The Physical Object | |

Pagination | 37 p. ; |

Number of Pages | 37 |

ID Numbers | |

Open Library | OL4602678M |

LC Control Number | 77365735 |

A review of model selection methods and the con ict between AIC and BIC Model/variable selection is one of the most important problems in statistics. A large number of model selection criteria has been proposed in the statistics literature, such as AIC, C p, BIC, GIC, RIC, FPE, MDL, CV, GCV, LASSO, SCAD, adaptive LASSO, and so on. A New Identification Condition for Recursive Models With Correlated Errors Carlos Brito and Judea Pearl Cognitive Systems Laboratory Computer Science Department University of California, Los Angeles This article establishes a new criterion for the identification of recursive linear mod-els in which some errors are correlated. The New York Fed offers the Central Banking Seminar and several specialized courses for central bankers and financial supervisors. The New York Fed has been working with tri-party repo market participants to make changes to improve the resiliency of the market to financial stress. Nancy L. Stokey is the author of Recursive Methods in Economic Dynamics ( avg rating, 46 ratings, 0 reviews, published ) and Giving Aid Effective 4/5(46).

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For the final versions of the models, therefore, use was made of simultaneous estimation methods, such as Limited Information Maximum Likelihood and Two Stage Least Squares (TSLS). Recently, however, Van der Giessen [5] applied the (Recursive) Fix-Point estimation method to the C by: 3.

Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is Edition: 1.

The method of rolling regression is useful for initialising an ordinary recursive regression that lacks prior information for the regression parameters. A rolling regression can be set in motion using pseudo information, such as b 0 =0 and P 0 = by: 0) in respect ofβ.

4 Initialising a Recursive Regression In practice, when the recursive formulae are used in an ordinary regression analysis, the initial estimates of the parameter vector and their dispersion ma- trices are determined by an initial stretch of data. IfX. k=[x. 1, by: Estimates based on LIML, TSLS or the full-information recursive fix-point method (see Hasselman, Post and van den Beld, ).

were not able to explain the surge in unemployment in the early s. This led to a growing realization that a sophisticated econometric model was not necessarily an adequate model. The econometric models are mathematical expressions that establish the relationship between one or more endogenous and exogenous variables that explain the systematic or deterministic behavior of.

Recursive Models BIBLIOGRAPHY A system of equations is recursive rather than simultaneous if there is unidirectional dependency among the endogenous variables such that, for given values of exogenous variables, values for the endogenous variables can be determined sequentially rather than jointly.

A time-series path in the recursive model is the result of a series of these two-period decisions. In the neoclassical model, the consumer or producer maximizes utility (or profits). In the recursive model, the subject maximizes value or welfare, which is the sum of current rewards or benefits and discounted future expected value.

the scope of quantile regression methods for structural econometric models. He con-siders a general nonlinear speci cation whose crucial feature is its triangular sto-chastic structure. By recursively conditioning, a sequence of conditional quantile functions are available to characterize the model and identify the structural e ects.

Applied to \Vater 'lnd Related Land Resour e Li ban, Portugal, 19 5 A SIMULATION STUDY OF RECURSIVE PARAMETER ESTIMATION TECHNIQUES FOR A STOCHASTIC-DYNAMIC FLOOD ROUTING MODEL K.

Georgakakos and W. Krajewski H)drologic Re earch Laborato,)',Vational ~Veather Service,VG 4A, Silver SjJring, lVID[/SA by: 2. Nicola Pavoni, Christopher Sleet, Matthias Messner. We develop a recursive dual method for solving dynamic economic problems.

The method uses a Lagrangian to pair a dynamic recursive economic problem with a dual problem. Recursive Models of Dynamic Linear Economies Lars Hansen University of Chicago Thomas J. Sargent New York University and Hoover Institution c Lars Peter Hansen and Thomas J.

Sargent 6 September “Recursive Methods for Computing Equilibria of Business Cycle Models” by Gary Hansen and Ed Prescott in “Frontiers of Business Cycle Research”, edited by Tom Cooley, PUP, The book “Computational Methods for the Study of Dynamic Economies”, edited by Ramon Marimon and Andrew Scott, CUP,is also a good Size: KB.

methods for detecting peaks and troughs in stock values and deciding the time to trade. Three semi-parametric methods are considered: double exponential smooth-ing, time-varying parameters and prediction errors statistics.

These methods are widely used in monitoring, forecasting and control, and their common features are recursive computation. Stokey, Lucas, and Prescott develop the basic methods of recursive analysis and illustrate the many areas where they can usefully be applied.

After presenting an overview of the recursive approach, the authors develop economic applications for deterministic dynamic programming and the stability theory of first-order difference equations/10(87).

Recursive cointegration analysis For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum. This rigorous but brilliantly lucid book presents a self-contained treatment of modern economic dynamics.

Stokey, Lucas, and Prescott develop the basic methods of recursive analysis and illustrate the many areas where they can usefully be applied. This paper considers parametric estimation problems with independent, identically nonregularly distributed data.

It focuses on rate efficiency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in Cited by: 1. parametric model, with the es timated m.p.c. ’ s for th e Fuzzy (3) model ly ing in a somewhat narrower band than those fo r the preferred Fuzzy (4) model.

The latter m.p.c. If you are a current qualifying member of The Econometric Society, you can register ration is necessary to enjoy the services we supply to members only (including online full content of Econometrica from to date, e-mail.

In the preface to Recursive Methods in Economic Dynamics,theau-thors stated that their aim was to make recursive methods accessible to the wider economics profession. They succeeded. In the decade since RMED appeared, the use of recursive methods in economics has boomed. And what was once as much a research monographFile Size: 1MB.

The paper gives an explicit solution to the problem of determining the causal structure of linear multi-equation econometric models. In a deterministic context the paper establishes a decomposition of the coefficient matrix, weighting the right-hand side endogenous variables, into complementary terms highlighting the recursive and the interdependent mechanisms of the by: 4.

of projection-based model order reduction methods by adapting random sketching methods [1,33] to the context of RB and POD. These methods were proven capable of signi cant complexity reduction for basic problems in numerical linear algebra such as computing products or factor-izations of matrices [22,38].File Size: 3MB.

Thomas F. Edgar (UT-Austin) RLS – Linear Models Virtual Control Book 12/06 Estimating Multiple Parameters (Steady State Model) 1 1 2 2 T y x a a x a x a x= = + + +⋯ n n ()2 * 1 min ˆ ˆ k T i i i x a y a = ∑ − (non-sequential solution requires n x n inverse) To obtain a recursive form for aˆ, 1 1 1 * 1 x T k k k k k k k k P P x B B x File Size: KB.

Econometric Modelling with Time Series This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maxi-mum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation File Size: KB.

Estimation of Non-Recursive Models: 2 Stage Least Squares With Identified Models. We are going to focus on one type of non-recursive model, a model in which there is reciprocal causation.

Consider the following: X1 X3 u. X2 X4 v. In this model, there are reciprocal effects between X3 and X4. The residuals, u and v, are also. Nonetheless, the number of different recursive causal structures that can be used for fitting a SEM to multivariate data can be huge, even when only a few traits are considered.

In recent applications of SEMs in mixed-model quantitative genetics settings, causal structures were preselected on the basis of prior biological knowledge by: Dynamic programming Martin Ellison 1Motivation Dynamic programming is one of the most fundamental building blocks of modern macroeconomics.

It gives us the tools and techniques to analyse (usually numerically but often analytically) a whole class of models in which the problems faced by economic agents have a recursive nature.

recursiveFile Size: KB. Econometrics Assignment Help, Explain structural model and a recursive model, Problem: a) Using a financial or economics theory, determine a simultaneous structural model and a recursive model, explaining each variable used in the models.

b) Using your above formulated simultaneous structural model, obtain the reduce. Subject: Image Created Date: 9/2/ AMFile Size: 6MB. of the model’s best-ﬁtting speciﬁcations for other economic variables of interest, such as the return to the aggregate wealth portfolio or the return to human wealth.

The purpose of this study is to help ﬁll this gap in the literature by undertaking a semiparametric econometric evaluation of the Epstein-Zin-Weil (EZW) recursive utility.

The Fundamental Recursion, Again Expectations Commentary 10 Stochastic Dynamic Programming Theory Statement of the Problem Optimality Proofs Numerical Methods Value Iteration Policy Iteration Fitted Value Iteration Commentary File Size: 2MB.

In response, econometricians have developed tests and other checks for model adequacy. All of these methods, however, take as given the specification of the model to be tested.

In this book, John Geweke addresses the critical earlier stage of model development, the point at which potential models are inherently by: The book of Wojciech W. Charemza and D. Deadman is one of the best book about Contegration test, it's very easy.

This book: "New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector autoregression" is meant to be used as a text, not read as a reference.5/5(3). Recursive Least-Square Regression. Consider the equation of the linear regression model.

The tth instance of the regression relationship is represented by (16) y t= x0 tﬂ+ " t: Here y t is a scalar element and x0 t is a row vector. It is assumed that the disturbances " t are serially independent with (17) E(" t)=0 andV(" t)=¾2 for all t:File Size: 59KB.

NBER Program(s):Economic Fluctuations and Growth The Time-Elimination Method for solving recursive dynamic economic models is described. By defining control-like and state-like variables, one can transform the equations of motion describing the economy's evolution through time into a system of differential equations that are independent of time.

The Recursive Modeling Method The basic modeling primitives we use are based on the Recursive Modeling Method (RMM) (see [ 8 ] in this Volume) [ 6 ] [ 2 ] [ 3 ]. RMM provides a theoretical framework for representing and using the knowledge that an agent has about its expected payoffs and those of others.

A critical appraisal of methods of estimation of econometric models;with special reference to the B. Recursive and Interdependent Systems 1Ô C. Block-Recursive Systems 21 III. TIM SERIES ANALYSIS 25 are being used now in econometric model building and evaluate their merits and demerits.

Some equations of the agriculturalCited by: 2. Modelling economic change: The recursive programming approach (Contributions to economic analysis) [Day, Richard Hollis] on *FREE* shipping on qualifying offers.

Modelling economic change: The recursive programming approach (Contributions to economic analysis)Author: Richard Hollis Day. • Real business cycle (RBC) model = growth model with aggregate productivity shocks • New Keynesian model = RBC model + sticky prices • Incomplete markets model (Aiyagari-Bewley-Huggett) = growth model + heterogeneity in form of uninsurable idiosyncratic shocks 7/.

O n o o -o N o o o n o o c.Note: This model could also be fit with sem, using maximum likelihood instead of a two-step method.

You can find examples for recursive models fit with sem in the “Structural models: Dependencies between responese variables” section of [SEM] intro 5 — Tour of models.Inference in Nonlinear Econometric Models with Structural Change DONALD W.

K. ANDREWS and RAY C. FAIR 1. INTRODUCTION This paper is concerned with testing for structural change in nonlinear models. For the classical linear regression model the F-test discussed by Chow () commonly is used.