Estimators are often defined as the maximizing values of some objective function. This note introduces an algorithm for the computation of such estimators for the parameters of a system of equations where some of the variables are implicitly defined by an auxiliary set of equations. Systems of equations of this kind have been considered in the recent factor demand literature as well as in other areas. The algorithm is a gradient procedure. To keep the computational burden manageable it calculates the gradient from analytic expressions rather than by numerical differentiation.
ASJC Scopus subject areas
- Economics and Econometrics