On the computation of estimators in systems with implicity defined variables

Ingmar R. Prucha; M. Ishaq Nadiri

doi:10.1016/0165-1765(88)90030-4

On the computation of estimators in systems with implicity defined variables

Ingmar R. Prucha, M. Ishaq Nadiri

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

Abstract

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.

Original language	English (US)
Pages (from-to)	141-145
Number of pages	5
Journal	Economics Letters
Volume	26
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(88)90030-4
State	Published - 1988

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(88)90030-4

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title = "On the computation of estimators in systems with implicity defined variables",

abstract = "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.",

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

note = "Funding Information: * We would like to thank Gary Anderson, Ernst Bemdt, Bronwyn Hall, Harry Kelejian and Sam Ouliaris for helpful comments and discussions. We assume responsibility, however, for any remaining errors. This research was supported by the C.V. Starr Center{\textquoteright}s Focus Program for Capital Formation, Technological Change , Financial Structure and Tax Policy. {\textquoteright} For a nice review and discussion of numerical optimization routines from an econometric perspective see, e.g., Bemdt et al. (1974), Judge et al. (1985) and Quandt (1983).",

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doi = "10.1016/0165-1765(88)90030-4",

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AU - Nadiri, M. Ishaq

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PY - 1988

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N2 - 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.

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On the computation of estimators in systems with implicity defined variables

Abstract

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