Skip to search
Skip to main content
Search in
Keyword
Title (keyword)
Author (keyword)
Subject (keyword)
Title starts with
Subject (browse)
Author (browse)
Author (sorted by title)
Call number (browse)
search for
Search
Advanced Search
Bookmarks
(
0
)
Princeton University Library Catalog
Start over
Cite
Send
to
SMS
Email
EndNote
RefWorks
RIS
Printer
Bookmark
A Comparison of FIML and Robust Estimates of a Nonlinear Macroeconomic Model / Ray C. Fair.
Author
Fair, Ray C.
[Browse]
Format
Book
Language
English
Published/​Created
Cambridge, Mass. National Bureau of Economic Research 1973.
Cambridge, Mass. : National Bureau of Economic Research, 1973.
Description
1 online resource: illustrations (black and white);
Details
Subject(s)
Macroeconomics
[Browse]
Related name
National Bureau of Economic Research
[Browse]
Series
Working Paper Series (National Bureau of Economic Research) no. w0015.
[More in this series]
NBER working paper series no. w0015
Summary note
The prediction accuracy of six estimators of econometric models are compared. Two of rthe estimators are ordinary least squares (OLS) and full-information maximum likelihood. (FML). The other four estimators are robust estimators in the sense that they give less weight to large residuals. One of the four estimators is approximately equivalent to the least-absolute-residual (LAR) estimator, one is a combination of OLS for small residuals and LAR for large residuals, one is an estimator proposed by John W. Tukey, and one is a combination of FIML and LAR. All of the estimators account for the first-order serial correlation of the error terms. The main conclusion is that robust estimators appear quite promising for the estimation of econometric models. Of the robust estimators considered in the paper, the one based on minimizing the sum of the absolute values of the residuals performed the best. The FIML estimator and the combination of the FIML and LAR estimators also appear promising.
Notes
October 1973.
Bibliographic references
Includes bibliographical references.
Source of description
Print version record
Statement on responsible collection description
Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
Read more...
Other views
Staff view
Ask a Question
Suggest a Correction
Supplementary Information