clanak handbook of econometrics 26 functional forms in econometric model building外语英文电子书

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1、Chapter26FUNCTIONALFORMSINECONOMETRICMODELBUILDING*LAWRENCEJ.LAUStanfordUniversityContents1.Introduction15162.Criteriafortheselectionoffunctionalforms15202.1.Theoreticalconsistency15202.2.Domainofapplicability15272.3.Flexibility15392.4.Computationalfacility15452.5.Factualconformity15463.Compati

2、bilityofthecriteriafortheselectionoffunctionalforms15473.1.Incompatibilityofaglobaldomainofapplicabilityandflexibility15483.2.Incompatibilityofcomputationalfacilityandfactualconformity15513.3.Incompatibilityofaglobaldomainofapplicability,flexibilityandcomputationalfacility15524.Concludingremark

3、s1558Appendix11559References1564*TheauthorwishestothankKemrethArrow,ErwinDiewert,ZviGriliches,DaleJorgensonandmembersoftheEconometricsSeminarattheDepartmentofEconomics,StanfordU&ersity,forhelnfulcommentsanddiscussions.FinancialsunnortforthisresearchundersrantSOC77-11105fromthe*NationalScienceFo

4、undationisgratefully&cnowledged.Responsibilityforerrorsremainswiththeauthor.HandbookofEconometrics,VolumeIII,Editedby2.GrilichesandM.D.Intriligator0ElsevierSciencePublishersBV,19861516L.J.Lml1.IntroductionEconometricsisconcernedwiththeestimationofrelationshipsamongobservable(andsometimesevenuno

5、bservable)variables.Anyrelationshiptobeestimatedisalmostalwaysassumedtobestochastic.However,therelationshipisoftenspecifiedinsuchawaythatitcanbedecomposedintoadeterministicandastochasticpart.Thedeterministicpartisoftenrepresentedasaknownalgebraicfunctionofobservablevariablesandunknownparameters

6、.Atypicaleconomicrelationshiptobeestimatedmaytaketheform:whereyistheobservedvalueofthedependentvariable,Xistheobservedvalueofthevectorofindependentvariables,cuisafinitevectorofunknownconstantparametersandEisastochasticdisturbanceterm.Thedeterministicpart,f(X,a),issupposedtobeaknownfunction.Thef

7、unctionalformproblemthatweconsideristheexantechoiceofthealgebraicformofthefunctionf(X;CX)priortotheactualestimation.Weask:Whatconsiderationsarerelevantintheselectionofonealgebraicfunctionalformoveranother,usingonlyaprioriinformati