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The Structure of Simultaneous Equations Estimators

David F. Hendry

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0014
Subject:
Economics and Finance, Econometrics

Optimal estimation is necessary for empirical modelling, but can be summarized in an estimator generating equation (EGE). The EGE reduces a vast literature on estimating individual equations and ... More


AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors

David F. Hendry and Frank Srba

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0015
Subject:
Economics and Finance, Econometrics

Keeping econometrics operational with suitable computer programs that implement new methods and approaches is essential. The evolution of AUTOREG follows the methodological developments, from ... More


Algorithms for estimating parametric nonlinear models

Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.003.0012
Subject:
Economics and Finance, Econometrics

This chapter contains an introduction to estimating parametric nonlinear models. Estimation has to be carried out using numerical algorithms. Both algorithms not using derivatives of the function to ... More


Foundations of Info-Metrics: Modeling, Inference, and Imperfect Information

Amos Golan

Published in print:
2017
Published Online:
November 2017
ISBN:
9780199349524
eISBN:
9780199349555
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199349524.001.0001
Subject:
Economics and Finance, Econometrics

This book provides a framework for info-metrics—the science of modeling, inference, and reasoning under conditions of noisy and insufficient information. Info-metrics is an inherently ... More


Rational Inference: A Constrained Optimization Framework

Amos Golan

in Foundations of Info-Metrics: Modeling, Inference, and Imperfect Information

Published in print:
2017
Published Online:
November 2017
ISBN:
9780199349524
eISBN:
9780199349555
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199349524.003.0002
Subject:
Economics and Finance, Econometrics

In this chapter I present arguments for the use of info-metrics as a fundamental framework for rational inference. The chapter consists of two interdependent parts. In the first I provide the ... More


Info-Metrics and Statistical Inference: Discrete Problems

Amos Golan

in Foundations of Info-Metrics: Modeling, Inference, and Imperfect Information

Published in print:
2017
Published Online:
November 2017
ISBN:
9780199349524
eISBN:
9780199349555
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199349524.003.0012
Subject:
Economics and Finance, Econometrics

This chapter is the first of a two-chapter sequence looking into the relationship between info-metrics and the more familiar statistical methods of inference, with an emphasis on ... More


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