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Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model

  • Bond Derek

    ()

    (University of Ulster)

  • Harrison Michael J.

    ()

    (Trinity College Dublin)

  • O'Brien Edward J.

    ()

    (Trinity College Dublin)

In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The performance of this program is investigated using data relating to Hamilton's example concerning the US Phillips curve, two versions of the Gauss software, and a range of alternative numerical optimization options and values for the Gauss parameter _oprteps. The impact of changes in initial parameter estimates and the use of pairs of optimization algorithms are also briefly examined. Finally, the effects of changes in the sample data on the results produced by Hamilton's procedure are explored. The results presented suggest some clear conclusions, which will be of value to those contemplating working with Hamilton's new method.

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Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 9 (2005)
Issue (Month): 3 (September)
Pages: 1-43

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Handle: RePEc:bpj:sndecm:v:9:y:2005:i:3:n:2
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  1. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
  2. D. Bond & M. Harrison & E.J. O'Brien, 2003. "Investigating Nonlinearity: A Note on the Implementation of Hamilton's Methodology," Trinity Economics Papers 200312, Trinity College Dublin, Department of Economics.
  3. Christian M. Dahl & Yu Qin, 2008. "The limiting behavior of the estimated parameters in a misspecified random field regression model," CREATES Research Papers 2008-45, School of Economics and Management, University of Aarhus.
  4. Hamilton, James D., 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series qt68s8157x, Department of Economics, UC San Diego.
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