This working paper provides some preliminary results on the computational feasibility of nonlinear full information maximum likelihood (NECML) estimation. Severa1 of the test cases presented were also subjected to nonlinear three stage least square (NLBSLS) estimation in order to illustrate the...

This working paper provides some preliminary results on the computational feasibility of nonlinear full information maximum likelihood (NECML) estimation. Severa1 of the test cases presented were also subjected to nonlinear three stage least square (NLBSLS) estimation in order to illustrate the...

An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal...

The identification of time-varying coefficient regression models is investigated using an analysis of the classical information matrix. The variable coefficients are characterized by autoregressive stochastic processes, allowing the entire model to be case in state space form. Thus the unknown...

The identifiability of reduced form econometric models with variable coefficients is investigated using the control theoretic concepts of uniform complete observability and uniform complete controllability. First, a variant of the state space representation of the traditional reduced form is...

A bootstrap approach to evaluating conditional forecast errors in ARMA models is presented. The key to this method is the derivation of a reverse-time state space model for generating conditional data sets that capture the salient stochastic properties of the observed data series. We demonstrate...

This note considers the effect of a class of linear inter-equation constraints in the specification of the lag structure in econometric models. In particular, attention is focused on the linear summing, or "adding up�, constraints which arise between equations in factor shares analysis. The...

The identification of time-varying coefficient regression models is investigated using an analysis of the classical information matrix. The variable coefficients are characterized by autoregressive stochastic processes, allowing the entire model to be case in state space form. Thus the unknown...

The Rational Distributed Lag Structural Form of an econometric model is introduced, and its relationship to several traditional forms of representation is discussed. The traditional forms are viewed as special cases of the Rational Structural Form. Thus, the latter provides a unified framework...