An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models

William R. Parke

No 537, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper presents a numerical algorithm for computing full information maximum likelihood (FIML) and nonlinear three-stage least squares (3SLS) coefficient estimates for large nonlinear macroeconomic models. The new algorithm, which is demonstrated by actually computing FIML and 3SLS coefficient estimates for two versions of the 97 equation Fair Model, is substantially more effective than other algorithms on FIML and 3SLS estimation problems.

Pages: 25 pages
Date: 1979-10
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Citations: View citations in EconPapers (1)

Published in Econometrica (1982), 50: 81-95

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