Abstract
A reading of Chapters 4 and 5 might suggest that, in the context of KK systems, the problem of choosing an estimator would be reasonably straightforward. The asymptotic results presented in Chapter 4 imply a clear ranking of available estimators, the FISEs being superior, in terms of asymptotic properties, to the LISEs, and these in turn being superior to the SIEs. Furthermore, as we saw in section 5.3, this ranking is not upset when the finite-sample results generated by the available Monte Carlo studies are taken into account. It would seem, then, that in choosing an estimator the KK system-builder should consider only the FISEs or at most the FISEs and the LISEs.
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© 1983 D.W. Challen and A.J. Hagger
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Challen, D.W., Hagger, A.J. (1983). From Theory to Practice: The Choice of Estimator. In: Macroeconometric Systems. Palgrave, London. https://doi.org/10.1007/978-1-349-27931-9_6
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DOI: https://doi.org/10.1007/978-1-349-27931-9_6
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