A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations

Ingmar R. Prucha, M Nadiri

    Research output: Contribution to journalArticle

    Abstract

    Several approaches to the formulation and estimation of dynamic factor demand systems under non-static expectations on the exogenous variables in the firm's decision process have been suggested. Among those approaches there are trade-offs in terms of statistical and computational efficiency, the generality with which the technology and the expectation formation process can be specified, and in terms of informational requirements. This paper analyzes the trade-offs among three alternative approaches in terms of their statistical and computational efficiency within the context of a Monte Carlo experiment.

    Original languageEnglish (US)
    Pages (from-to)187-211
    Number of pages25
    JournalJournal of Econometrics
    Volume33
    Issue number1-2
    DOIs
    StatePublished - 1986

    Fingerprint

    Computational Efficiency
    Trade-offs
    Monte Carlo Experiment
    Alternatives
    Formulation
    Requirements
    Model
    Demand
    Demand model
    Dynamic factor demand
    Context
    Business
    Demand systems
    Monte Carlo experiment
    Decision process
    Expectation formation
    Exogenous variables

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Finance
    • Statistics and Probability

    Cite this

    A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations. / Prucha, Ingmar R.; Nadiri, M.

    In: Journal of Econometrics, Vol. 33, No. 1-2, 1986, p. 187-211.

    Research output: Contribution to journalArticle

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