 A Least-Squares Model Specification Test for a Class of Dynamic Nonlinear Economic Models With Systematically Varying ParametersRobert E. Kalaba and Leigh Tesfatsion (tesfatsi@iastate.edu) Staff General Research Papers Archive 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://www2.econ.iastate.edu/tesfatsi/flshome.htm Keywords: Flexible least squares; Invariant imbedding; sequential updating; dynamic nonlinear equations (search for similar items in EconPapers) 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: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:11222 Access Statistics for this paper More papers in Staff General Research Papers Archive from Iowa State University, Department of Economics Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070. Contact information at EDIRC. |
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