A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations

Ingmar R. Prucha; M. Ishaq Nadiri

doi:10.1016/0304-4076(86)90033-3

A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations

Ingmar R. Prucha, M. Ishaq Nadiri

Research output: Contribution to journal › Article › peer-review

Abstract

Several approaches to the formulation and estimation of dynamic factor demand systems under non-static expectations on the exogenous variables in the firm's decision process have been suggested. Among those approaches there are trade-offs in terms of statistical and computational efficiency, the generality with which the technology and the expectation formation process can be specified, and in terms of informational requirements. This paper analyzes the trade-offs among three alternative approaches in terms of their statistical and computational efficiency within the context of a Monte Carlo experiment.

Original language	English (US)
Pages (from-to)	187-211
Number of pages	25
Journal	Journal of Econometrics
Volume	33
Issue number	1-2
DOIs	https://doi.org/10.1016/0304-4076(86)90033-3
State	Published - 1986

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/0304-4076(86)90033-3

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title = "A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations",

abstract = "Several approaches to the formulation and estimation of dynamic factor demand systems under non-static expectations on the exogenous variables in the firm's decision process have been suggested. Among those approaches there are trade-offs in terms of statistical and computational efficiency, the generality with which the technology and the expectation formation process can be specified, and in terms of informational requirements. This paper analyzes the trade-offs among three alternative approaches in terms of their statistical and computational efficiency within the context of a Monte Carlo experiment.",

author = "Prucha, {Ingmar R.} and Nadiri, {M. Ishaq}",

note = "Funding Information: *This research was supported in part by the NSF Grant PRA-8108635 and by a grant from the Research Board of the University of Maryland. We wish to thank Harry Kelejian, Ernie Zampelh and this journal{\textquoteright}s editors and referees for helpful comments. Furthermore we would like to acknowledge the generous support with computer time from the Computer Science Center of the University Maryland.",

year = "1986",

doi = "10.1016/0304-4076(86)90033-3",

language = "English (US)",

volume = "33",

pages = "187--211",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier BV",

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T1 - A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations

AU - Prucha, Ingmar R.

AU - Nadiri, M. Ishaq

N1 - Funding Information: *This research was supported in part by the NSF Grant PRA-8108635 and by a grant from the Research Board of the University of Maryland. We wish to thank Harry Kelejian, Ernie Zampelh and this journal’s editors and referees for helpful comments. Furthermore we would like to acknowledge the generous support with computer time from the Computer Science Center of the University Maryland.

PY - 1986

Y1 - 1986

N2 - Several approaches to the formulation and estimation of dynamic factor demand systems under non-static expectations on the exogenous variables in the firm's decision process have been suggested. Among those approaches there are trade-offs in terms of statistical and computational efficiency, the generality with which the technology and the expectation formation process can be specified, and in terms of informational requirements. This paper analyzes the trade-offs among three alternative approaches in terms of their statistical and computational efficiency within the context of a Monte Carlo experiment.

AB - Several approaches to the formulation and estimation of dynamic factor demand systems under non-static expectations on the exogenous variables in the firm's decision process have been suggested. Among those approaches there are trade-offs in terms of statistical and computational efficiency, the generality with which the technology and the expectation formation process can be specified, and in terms of informational requirements. This paper analyzes the trade-offs among three alternative approaches in terms of their statistical and computational efficiency within the context of a Monte Carlo experiment.

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JO - Journal of Econometrics

JF - Journal of Econometrics

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ER -

A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations

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