A Least-Squares Model Specification Test for a Class of Dynamic Nonlinear Economic Models With Systematically Varying Parameters

R. Kalaba and Leigh Tesfatsion ()

Staff General Research Papers from Iowa State University, Department of Economics

Abstract: This study develops a least-squares measure for simultaneously testing the basic compatibility of prior dynamical, observational, and distributional model specifications against actual data for a class of dynamic nonlinear economic models with parameters explicitly modeled as nonlinear functions of endogenous and exogenous variables. Using invariant imbedding techniques, an algorithm is derived for sequentially updating the optimal least-squares estimates for parameters, endogenous variables, and squared residual modeling error sums as the duration of the process increases and new observations are obtained. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm

Keywords: Flexible least squares; multicriteria estimation; sequential updating (search for similar items in EconPapers)
JEL-codes: C1 C5 (search for similar items in EconPapers)
Date: 2004-01-16

Published in Journal of Optimization Theory and Applications, 1980, Vol. 32, pp. 538-567.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:isu:genres:11222

Access Statistics for this paper

More papers in Staff General Research Papers from Iowa State University, Department of Economics
Address: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Contact information at EDIRC.
Series data maintained by Stephanie Bridges ().