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"Full-Information Estimates of a Nonlinear
(with W. R. Parke), Journal of Econometrics,
September 1980, 269-291.
pdf file (1,155KB).
Results of estimating a large-scale, nonlinear macroeconometric model by
full-information maximum-likelihood, nonlinear three-stage least squares,
and nonlinear two-stage least squares are reported in this paper. The
computation of the estimates is first discussed, and then the differences
among the estimates are examined.
This paper presented for the first time full information estimates of a
model as large as the US model. A number of computational tricks were
needed, and considerable work went into the computations in this paper.
Some of the material in Chapter 6 in 1984#2
(see the notes on page 463) is taken from this paper.
The 3SLS and FIML estimators, which are used in this paper,
are programmed into the Fair-Parke
program. The commands are simply 3SLS and FIML.