Computational Economics and Econometrics
The field of Computational Economics is a fast growing area. Due to the limitations in analytical modeling, more and more researchers apply numerical methods as a means of problem solving. In tum these quantitative results can be used to make qualitative
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Advanced Studies in Theoretical and Applied Econometrics Volume 22
Managing Editors:
J.P. Ancot, Netherlands Economic Institute, Rotterdam, The Netherlands A.J. Hughes Hallet, University of Strathclyde, Glasgow, United Kingdom Editorial Board:
F.G. Adams, University of Pennsylvania, Philadelphia, U.S.A. P. Balestra, University of Geneva, Switzerland M.G. Dagenais, University of Montreal, Canada D. Kendrick, University of Texas, Austin, U.S.A. J.H.P. Paelinck, Netherlands Economic Institute, Rotterdam, The Netherlands A.S. Pindyck, Sloane School of Management, M.I. T., U.S.A. H. Theil, University of Florida, Gainesville, U.S.A. W. Welfe, University of Lodz, Poland
The titles published in this series are listed at the end of this volume.
Computational Economics and Econometrics
Edited by Ьу
Hans M. М. Amman Аттan David A. А. Belsley Louis F. Р. Pau Раи
SPRINGER SCIENCE+BUSINESS MEDIA, МEDIA, B.V. В.У.
Library of Congress CataIoging-in-Publication Data Computational econom ies and econometrics I edited by Hans M. A.man, David A. Belsley, Louis F. Pau. p. c •. -- (Advanced stud,es in theoretical and appllec econometrics ; v. 22) Includes index. ISBN 978-94-010-5394-5 ISBN 978-94-011-3162-9 (eBook) DOI 10.1007/978-94-011-3162-9 1. Econometrlcs--Congresses. 2. Computer simulation--Congr.sses. 1. Amman, Hans M. II. Belsley, DavId A. III. Pau, L.-F. (Louls -Fran~ols), 1948IV. Serles. HB139.C645 1991 330' .01·5195--dc20 91-16876
ISBN 978-94-010-5394-5
Printed an acid-free paper
AlI Rights Reserved
© 1992 Springer Science+Business Media Dordrecht Originally published by Kluwer Academic Publishers in 1992 Softcover reprint ofthe hardcover lst edition1992 No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical, including photocopying, recording or by any information storage and retrieval system, without written permission from the copyright owner.
TABLE OF CONTENTS
Preface
vii
PART ONE: ECONOMETRICS Likelihood evaluation for dynamic latent variables models David F. Hendry and Jean-Fran~ois Richard
3
Global optimization of statistical functions: Preliminary results William L. Goffe, Garry D. Ferrier and John Rogers
19
On efficient exact maximum likelihood estimation of high-order multivariate ARMA models Stefan Mittnik
33
Efficient computation of stochastic coefficients models /-Lok Chang, Charles Hallahan and P.A.V.B. Swamy
43
The degree of effective identification and a diagnostic measure for assessing it David A. Belsley
55
PART TWO: MODEL STIMULATION AND OPTIMIZATION A splitting equilibration algorithm for the computation of large-scale constrained matrix problems: Theoretical analysis and applications Anna Nagurney and Alexander Eydeland
65
Nonstationary model solution techniques and the USA algorithm P.G. Fisher and A.J. Hughes Hallett
107
Implementing no-derivative optimizing procedures for optimization of econometric models Gyorgy BaraMs
121
Information in a Stackelberg game between two players hol
