Accession Number : AD0767393

Title :   Identification in Control and Econometrics; Similarities and Differences.

Descriptive Note : Interim technical rept.,

Corporate Author : HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS

Personal Author(s) : Mehra,R. K.

Report Date : JUL 1973

Pagination or Media Count : 10

Abstract : The report attempts to bridge the gap between the economic and the control literatures on the subject of system identification and parameter estimation. It is pointed out that the emphasis in the economic literature is on large simultaneous equation models and linear estimation techniques, whereas the emphasis in the control literature is on state vector and transfer function models, on problems due to partial state observations and nonlinear estimation techniques. Since a step in the direction of easier communication between researchers in the two fields would be the use of a common model, the state-vector model of control which has already been used in several economic studies is proposed as a unifying link. The relationship of the state vector model to the simultaneous equation model and the role of process and measurement noise in the econometric context are discussed. Complete results on the identifiability of state-vector models along with a stepwise two-stage least squares method for model structure determination and a maximum likelihood method for parameter estimation are given. The problems of closed-loop system identification and input design are also briefly discussed. (Author)

Descriptors :   (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), (*ECONOMICS, ADAPTIVE CONTROL SYSTEMS), IDENTIFICATION SYSTEMS, STOCHASTIC PROCESSES, REGRESSION ANALYSIS, EQUATIONS OF MOTION, MATRICES(MATHEMATICS), TIME SERIES ANALYSIS, LEAST SQUARES METHOD

Subject Categories : Economics and Cost Analysis
      Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE