The Informational Fit and Maximum Likelihood in a Pooled Cross-Country Demand System with Autocorrelation

Dongling Chen and James Seale ()

Journal of Agricultural and Applied Economics, 2003, vol. 35, issue Supplement, 7

Abstract: We fit the Florida Model with an AR(1) error structure to pooled cross-country International Comparison Project (ICP) data of Seale, Walker, and Kim and estimate the model with the minimum information (MI) estimator. Point estimates obtained by MI are similar in value to those obtained by Seale, Walker, and Kim with maximum likelihood (ML). Two similar simulations but with different sample sizes are conducted to compare the relative efficiencies of MI and ML with known and unknown (MLU) covariances. In the larger sample, the MLU is more efficient in terms of root-mean-squared errors (RMSEs) than the MI. Noteworthy, in the small sample, the MI is more efficient in terms of RMSEs than MLU, even though MLU explicitly accounts for AR(1), whereas the MI does not. These results correspond to earlier findings of Theil for time-series and cross-sectional data.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/43294/files/CH ... UPPLEMENT%202003.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:ags:joaaec:43294

DOI: 10.22004/ag.econ.43294

Access Statistics for this article

More articles in Journal of Agricultural and Applied Economics from Southern Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().