Interdependent systems: structure and estimation
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam [u.a.]
North-Holland Publ.
1970
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXII, 542 S. graph. Darst. |
| ISBN: | 0720430429 |
Staff View
MARC
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| 245 | 1 | 0 | |a Interdependent systems |b structure and estimation |c by Ernest J. Mosbaek and Herman O. Wold. with contributions by Ejnar Lyttkens, Anders Ågren and Lennert Bodin |
| 264 | 1 | |a Amsterdam [u.a.] |b North-Holland Publ. |c 1970 | |
| 300 | |a XXII, 542 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Economics |x Mathematical models | |
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Record in the Search Index
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| adam_text | Contents
Preface v
List of Tables xv
List of Charts xix
1. Introduction
1.1. Focus and Emphasis of Monograph 1
1.2. Special Features Reconsidered 2
1.3. Apparent vs Genuine Scatter — A Fundamental Feature
in Model Building 23
1.4. General Features of Multirelational Model Building 35
2. Framework for Analysis of Monte Carlo Results 92
2.1. Monte Carlo Investigations as a Research Tool 93
2.2. Generating Monte Carlo Data 95
2.3. Six Series of Models 98
2.4. Four Methods of Estimation in Focus 103
2.5. Criterion in Judging Alternative Methods of Estimation 106
2.6. Time Series vs Cross Section Data 108
ix
x CONTENTS
3. Methods of Estimation 109
3.1. Scope and Evaluation of the Present Study 109
3.2. Reference to More General ID systems (by E.Lyttkens
and H.Wold) 112
3.3. Ordinary Least Squares (OLS) Estimation (by E.Lyttkens
andH.Wold) 120
3.4. Two Stage Least Squares (TSLS) Estimation (by E.Lytt¬
kens and H. Wold) 124
3.5. Fix Point (PP) Estimation 127
3.6. Fractional Fix Point (FFP) Estimation (by A.Agren) 129
3.7. Recursive Fix Point (RFP) Estimation (by L.Bodin) 136
3.8. Algebraic FP (AFP) Estimation of Summers Model (by
E.Lyttkens) 143
3.9. Some Asymptotic Formulas for Standard Errors and
Small Sample Bias of FP Estimates (by E. Ly ttkens) 15 2
3.10. Maximum Likelihood Aspects of the FP Estimates of
GEID Models (by E.Lyttkens) 165
4. Predictive Power — A Summary Statistic
4.1. Summary of Overall Set of Estimates for a Model 169
4.2. Predictions from Reduced Form Equations 174
4.3. R2 Computed from Data Within the Sample Period 175
4.4. R2 Computed from Data Outside the Sample Period 184
5. Convergence
5.1. General Appraisal 209
5.2. Size of Beta Coefficients 217
5.3. Limiting the Number of Iterations 222
5.4. Number of Variables per Equation and Number of
Equations 227
5.5. Size of Sample 230
5.6. Size of Residuals 233
5.7. GEID Models 236
CONTENTS xi
6. Consistency of Estimates 239
6.1. Results with Increasing Sample Size 239
6.2. Results Using Population Data 246
6.3. Size of Beta Coefficients and Evidence on Consistency
of FP 247
6.4. FP gives Plural Solutions for Some GEID Systems 250
7. Small Sample Bias in Specific Parameters
7.1. Introduction 251
7.2. Small Bias in both FP and TSLS if Betas or Residuals are
Small 255
7.3. Sample Size 259
7.4. Size of Residuals 262
7.5. Number of Predetermined Variables 266
7.6. Specific Values of Beta Coefficients that Lead to Large
Bias 269
7.7. Lagged Endogenous Variables and Inter Correlations
among Exogenous Variables 274
7.8. GEID Specifications 279
8. Dispersion of Estimates 288
8.1. In Models with Small Betas FP and TSLS are Approximately
the Same 289
8.2. Sample Size 292
8.3. Size of Residuals 298
8.4. Number of Predetermined Variables 302
8.5. Specific Values of Beta Coefficients that Lead to Large
Dispersion 305
8.6. Lagged Endogenous Variables and Inter Correlations
among Exogenous Variables 309
8.7. GEID Specifications 313
9. Some General ID (GEID) Models
9.1. Rationale of GEID Models 316
xii CONTENTS
9.2. Difference in Relative Performance of OLS, TSLS, and
FP for Classic ID vs GEID Models 318
9.3. Algebraic FP (AFP) Estimation of Girshick Haavelmo s
Model (by E.Lyttkens) 330
10. Monte Carlo Results for Each of Forty Six Models
10.1. Overall Features of the Experimental Design 336
10.2. Tables of Monte Carlo Results 342
11. Symmetric and Asymmetric Estimation Methods
(by E.Lyttkens)
11.1. Asymmetry of the TSLS Method 434
11.2. Asymmetry of the 3 SLS Method 440
11.3. Symmetry of the Classic Maximum Likelihood Method 441
11.4. Iterative Instrumental Variables (IIV) Estimation 444
11.5. Algebraic Instrumental Variables (AIV) Estimation of
Summers Model 448
11.6. An Iterative Method for Partly Respecified Systems 453
11.7. Algebraic Estimation of Girshick Haavelmo s Model in
a Partly Respecified Version 456
12. Special Characteristics brought to Light 460
12.1. Degree and Type of Interdependence is Important 461
12.2. Overidentification De emphasized with Emergence of
LIML and TSLS Estimation 463
12.3. Relationship between URF and Generated Reduced
Form in FP Estimation 464
12.4. Predictive Power as a Test for Comparing Alternative
Methods 466
12.5. Full Information Methods Questionable for Large
Models 467
12.6. Accuracy in Computations 469
13. Any Verdict yet? 471
13.1. Sketches of Distributions for Parameter Estimates 473
13.2. Methods and Types of Models not Considered 485
CONTENTS xiii
13.3. Criteria for Judging Estimation Methods 491
13.4. Comments on Methods of Estimation and Model
Specification 493
Appendix I. Symbols, Abbreviations, and Formats for Refer¬
ences 497
Appendix II. Normalizing Variables 503
Notes 507
References 522
Subject Index 532
Author Index 541
|
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| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/82 |
| dewey-search | 330/.01/82 |
| dewey-sort | 3330 11 282 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV001976431 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T15:38:14Z |
| institution | BVB |
| isbn | 0720430429 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-001289117 |
| oclc_num | 185773894 |
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| physical | XXII, 542 S. graph. Darst. |
| psigel | TUB-nveb |
| publishDate | 1970 |
| publishDateSearch | 1970 |
| publishDateSort | 1970 |
| publisher | North-Holland Publ. |
| record_format | marc |
| spelling | Mosbaek, Ernest J. Verfasser aut Interdependent systems structure and estimation by Ernest J. Mosbaek and Herman O. Wold. with contributions by Ejnar Lyttkens, Anders Ågren and Lennert Bodin Amsterdam [u.a.] North-Holland Publ. 1970 XXII, 542 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Wirtschaft Economics Mathematical models Schätzung (DE-588)4193791-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Schätzung (DE-588)4193791-0 s DE-604 Wold, Herman 1908-1992 Verfasser (DE-588)117727148 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=001289117&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mosbaek, Ernest J. Wold, Herman 1908-1992 Interdependent systems structure and estimation Mathematisches Modell Wirtschaft Economics Mathematical models Schätzung (DE-588)4193791-0 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4193791-0 (DE-588)4132280-0 |
| title | Interdependent systems structure and estimation |
| title_auth | Interdependent systems structure and estimation |
| title_exact_search | Interdependent systems structure and estimation |
| title_full | Interdependent systems structure and estimation by Ernest J. Mosbaek and Herman O. Wold. with contributions by Ejnar Lyttkens, Anders Ågren and Lennert Bodin |
| title_fullStr | Interdependent systems structure and estimation by Ernest J. Mosbaek and Herman O. Wold. with contributions by Ejnar Lyttkens, Anders Ågren and Lennert Bodin |
| title_full_unstemmed | Interdependent systems structure and estimation by Ernest J. Mosbaek and Herman O. Wold. with contributions by Ejnar Lyttkens, Anders Ågren and Lennert Bodin |
| title_short | Interdependent systems |
| title_sort | interdependent systems structure and estimation |
| title_sub | structure and estimation |
| topic | Mathematisches Modell Wirtschaft Economics Mathematical models Schätzung (DE-588)4193791-0 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Mathematisches Modell Wirtschaft Economics Mathematical models Schätzung Ökonometrie |
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