A Multicriteria Approach to Model Specification and Estimation

Robert E. Kalaba and Leigh Tesfatsion ()

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

Abstract: This study considers why multicriteria techniques have not been widely adopted in econometrics to date. It then presents a multicriteria approach to estimation problems for which the basic objective is to learn about the sequence of states through which a process has passed. The multicriteria approach involves the construction of a "cost efficient frontier" which determines the set of state trajectory estimates that are minimally incompatible with a specified set of model criteria. This approach includes flexible least squares (FLS) and generalized flexible least squares (GFLS) as special cases; see the articles on FLS and GFLS cited below. The study also surveys recent theoretical and empirical work that makes use of FLS and GFLS. Annotated pointers to related work can be accessed here: http://www2.econ.iastate.edu/tesfatsi/flshome.htm

JEL-codes: C1 C3 C5 (search for similar items in EconPapers)
Date: 1996-01-01
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Citations: View citations in EconPapers (7)

Published in Computational Statistics and Data Analysis 1996, vol. 21, pp. 193-214

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Related works:
Journal Article: A multicriteria approach to model specification and estimation (1996)
Working Paper: A multicriteria approach to model specification and estimation (1996)
Working Paper: A Multi-Criteria Approach To Model Specification And Estimation (1995)
Working Paper: A Multicriteria Approach to Model Specification and Estimation (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:1684

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