عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
TLets788192
Comparative methods of computing maximum likelihood estimates for non-linear econometric systems
[Thesis]
Chong, Yock Yoon
London School of Economics and Political Science (LSE)
1981
Ph.D.
London School of Economics and Political Science (LSE)
1981
This research is mainly concerned with numerical optimisation techniques applied to general non-linear econometric simultaneous equations systems. The method of estimation used is maximum likelihood. An estimation program which applies gradient-type procedures, specifically the Berndt-Hall-Hall-Hausman and Gill-Murray' Pitfield methods, is developed. This program allows the estimation of a general small-to-medium size model which is non-linear in parameters, variables or both. In the course of program development, a general differentiation program is written which will differentiate a set of econometric equations and thus provide the analytical gradients for the optimisation procedures. A comparative study has been made of the relative efficiency of the two methods by running a set of simulated non-linear models and also using a small macro- economic model of the British Economy specified by David F. Hendry. To improve the efficiency of the estimation program in terms of computing time, the Berndt-Hall-Hall-Hausman method was implemented on the ICL Distributed Array Processor (DAP)' which employs parallel computations. The DAP runs show that for a model with a large sample size, the DAP is approximately 30 times faster than the conventional computer CDC 7600, but that for the present algorithm, the latter is a more efficient alternative for small sample sizes.
HB Economic Theory
QA Mathematics
Chong, Yock Yoon
London School of Economics and Political Science (LSE)
مطالعه متن کتاب p
[Thesis]
276903
a
Y
