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The Stochastic Coefficients Approach to Econometric Modeling, Part II: Description and Motivation

Author

Listed:
  • Swamy, P.A.V.B.
  • Conway, Roger K.
  • LeBlanc, Michael

Abstract

A general stochastic coefficients model developed by Swamy and Tinsley serves as a reference point for discussion in this second of a series of three articles Other well-known specifications are related to the model. The authors weigh the advantages and disadvantages of stochastic coefficients and suggest procedures to address the identification and estimation problem with weaker and noncontradictory assumptions They argue that the real aim of inference is prediction and that "imprecise" parameter estimates of a coherent model are acceptable if they forecast well.

Suggested Citation

  • Swamy, P.A.V.B. & Conway, Roger K. & LeBlanc, Michael, 1988. "The Stochastic Coefficients Approach to Econometric Modeling, Part II: Description and Motivation," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 40(3), pages 1-10.
    • Handle: RePEc:ags:uersja:137467
    DOI: 10.22004/ag.econ.137467
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    References listed on IDEAS

    as
    1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    2. Kashyap, A. K. & Swamy, P. A. V. B. & Mehta, J. S. & Porter, R. D., 1988. "Further results on estimating linear regression models with partial prior information," Economic Modelling, Elsevier, vol. 5(1), pages 49-57, January.
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