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"Full-Information Estimates of a Nonlinear Macroeconometric Model," (with W. R. Parke), Journal of Econometrics, 1980.

Paper: pdf file Abstract
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.

Comments
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.