Jump to ContentJump to Main Navigation
Econometrics: Alchemy or Science?Essays in Econometric Methodology$
Users without a subscription are not able to see the full content.

David F. Hendry

Print publication date: 2000

Print ISBN-13: 9780198293545

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198293542.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 12 June 2021

The Structure of Simultaneous Equations Estimators

The Structure of Simultaneous Equations Estimators

(p.291) 13 The Structure of Simultaneous Equations Estimators
Econometrics: Alchemy or Science?

David F. Hendry (Contributor Webpage)

Oxford University Press

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 linear simultaneous systems to a single, simple expression based on the ‘score’, namely, the first derivative of the log‐likelihood function for full information maximum likelihood (FIML). The EGE also reveals how to generate new estimators and whether any given estimator is consistent and/or efficient. Consequently, the computation of maximum likelihood estimators is related to the properties of numerical optimization algorithms: estimators are numerical algorithms for approximating the solution of the score, classified by their choice of initial values, numbers of iterations and approximations to the Hessian of FIML. Different statistical approximations must be distinguished from alternative numerical optimization methods, which implement FIML, but some estimators are just different optimization algorithms, emphasizing the inter‐dependence between computational considerations based on numerical analyses and on statistical analyses.

Keywords:   estimator generating equation, estimators, full information maximum likelihood, numerical optimization, score, simultaneous systems, statistical approximations

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .