Econometric analysis of small linear systems using PC-FIML

Statistical Computing Software Reviews

“…Derivatives [due to Powell (1964), bas&d on conjugate directions], Numerical Derivatives, and Analytic Derivatives [the latter two are quasi-Newton methods, as discussed by Gill, Murray, and Wright (1981) and Hendry, Neale, and Srba (1987)l. For each method, at least some iterations are displayed on a screen that is overwritten with new values of the coefficients.…”

List of Figures. List of Appendices

“…For completeness, the Hendry methodology will also be discussed (see Hendry et al 1988 andMizon 1991). In this case we do not start with the "incredible restrictions" usually associated with the structural form approach.…”

“…The structural form is specified as a set of overidentifYing restrictions that are tested against the reduced form. But the Hendry approach cannot be applied to estimate the coefficients of the model developed in this paper since it, too, requires for its application models which are fairly small and linear (in fact both these words appear in the title of the Hendry et al (1988) article). What are we then to do?…”

Long–run price and income elasticities of demand for Hong Kong exports: a structural cointegrating VAR approach

“…5 Similar ®ndings are obtained by Muscatelli et al (1995) when, within a regionally disaggregated framework, the long-run elasticities of the demand for Hong Kong's exports are estimated by areas of destination (with the EEC, USA and Japan taken as importing areas). 6 It should be made clear that the over-identifying restrictions tested by Muscatelli et al (1992) at the ECM stage using the likelihood ratio test proposed by Hendry et al (1988) do not relate to the long-run properties predicted by theory but rather to the short-run dynamics. The long-run properties contained in the error-correction-term and hence the theoretical consistency of the steady-state solution are in fact left untested.…”