Accession Number : AD0624254
Title : NONLINEAR SIMULTANEOUS EQUATIONS: ESTIMATION AND PREDICTION.
Descriptive Note : Research memo.,
Corporate Author : PRINCETON UNIV N J ECONOMETRIC RESEARCH PROGRAM
Personal Author(s) : Goldfeld,Stephen M. ; Quandt,Richard E.
Report Date : 21 OCT 1965
Pagination or Media Count : 42
Abstract : The small sample properties of certain estimators of the coefficients of systems of simultaneous nonlinear equations are investigated. Sampling experiments are used in connection with two specific nonlinear models. The estimating methods investigated comprise direct least squares, various forms of two-stage least squares and full-information maximum likelihood. The relative performances of the various methods are evaluated on the basis of informal comparisons of their respective mean absolute errors and root mean square errors and also by more formal tests of significance. Direct least squares is found to be, as expected, the worst estimating method. The other two methods are rather more comparable with full-information maximum likelihood holding the edge for both theoretical and experimental reasons. (Author)
Descriptors : (*ECONOMICS, SIMULTANEOUS EQUATIONS), (*SAMPLING, ECONOMICS), MATHEMATICAL MODELS, MATHEMATICAL PREDICTION, LEAST SQUARES METHOD, ANALYSIS OF VARIANCE
Subject Categories : Economics and Cost Analysis
Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE