Change search
ReferencesLink to record
Permanent link

Direct link
Estimation and Prediction in Interdependent Systems in the Presence of Specification Errors
Umeå University, Faculty of Social Sciences, Department of Statistics.
1975 (English)Doctoral thesis, monograph (Other academic)
Abstract [en]

Mult i relät ional models involving simultaneously dependent linear equations are often employed in prediction and regulation of economic systems. The prediction purposes focus their attention on the reduced form of the model, relating each endogenous variable to exogenous variables, predicted outside the system. Different principles for estimating the reduced form parameters have been suggested. These concentrate to a different extent upon sample information and structural a priori information. Knowledge of the properties <bf predictions based on different principles of reduced form estimation is essential when choosing between competing estimation techniques. Reduced form estimation is often subject to many potential sources of specification error. In this work different types of specification errors, essentially due to incorrect omission of exogenous and endogenous variables, are studied in the context of reduced form estimation. A strategy of estimating reduced form parameters in the case of structural forms characterized by heterogenous specification quality is proposed and evaluated analytically as well as by a Monte Carlo study. The Monte Carlo study supports the conjecture that this strategy is better (when considering prediction quality measured by Ball's Q ) than purely direct (unrestricted) or indirect (restricted) reduced form estimation.

Place, publisher, year, edition, pages
Umeå: Umeå universitet , 1975. , 248 p.
National Category
Probability Theory and Statistics
URN: urn:nbn:se:umu:diva-7170OAI: diva2:146841
Available from: 2007-02-13 Created: 2007-02-13 Last updated: 2013-12-10Bibliographically approved

Open Access in DiVA

Estimation and Prediction in Interdependent Systems in the Presence of Specification Errors(13854 kB)199 downloads
File information
File name FULLTEXT01.pdfFile size 13854 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Westlund, Anders
By organisation
Department of Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 199 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 53 hits
ReferencesLink to record
Permanent link

Direct link