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A multicriteria approach to model specification and estimation

  • Kalaba, Robert
  • Tesfatsion, Leigh

This study considers why multicriteria techniques have not been widely adopted in econometrics to date. It then presents a multicriteria approach to estimation problems for which the basic objective is to learn about the sequence of states through which a process has passed. The multicriteria approach involves the construction of a "cost efficient frontier" which determines the set of state trajectory estimates that are minimally incompatible with a specified set of model criteria. This approach includes flexible least squares (FLS) and generalized flexible least squares (GFLS) as special cases; see the articles on FLS and GFLS cited below. The study also surveys recent theoretical and empirical work that makes use of FLS and GFLS. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 21 (1996)
Issue (Month): 2 (February)
Pages: 193-214

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Handle: RePEc:eee:csdana:v:21:y:1996:i:2:p:193-214
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Seiford, Lawrence M. & Thrall, Robert M., 1990. "Recent developments in DEA : The mathematical programming approach to frontier analysis," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 7-38.
  2. Kalaba, R. & Rasakhoo, N. & Tesfatsion, L., 1988. "A Fortran Program For Time-Varying Linear Regression Via Flexible Least Squares," Papers m8730, Southern California - Department of Economics.
  3. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11196, Iowa State University, Department of Economics.
  4. Kalaba, R. & Tesfatsion, L., 1988. "An Organizing Principle For Dynamic Estimation," Papers m8818, Southern California - Department of Economics.
  5. Korhonen, Pekka & Moskowitz, Herbert & Wallenius, Jyrki, 1992. "Multiple criteria decision support - A review," European Journal of Operational Research, Elsevier, vol. 63(3), pages 361-375, December.
  6. Kalaba, Robert E. & Tesfatsion, Leigh, 1993. "A Multicriteria Approach to Dynamic Estimation," Staff General Research Papers 11179, Iowa State University, Department of Economics.
  7. Tesfatsion, Leigh & Veitch, John M., 1990. "U.S. money demand instability A flexible least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 151-173, February.
  8. James S. Dyer & Peter C. Fishburn & Ralph E. Steuer & Jyrki Wallenius & Stanley Zionts, 1992. "Multiple Criteria Decision Making, Multiattribute Utility Theory: The Next Ten Years," Management Science, INFORMS, vol. 38(5), pages 645-654, May.
  9. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers 11190, Iowa State University, Department of Economics.
  10. Leamer, Edward E, 1985. "Sensitivity Analyses Would Help," American Economic Review, American Economic Association, vol. 75(3), pages 308-13, June.
  11. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  12. Kalaba, Robert E. & Tesfatsion, Leigh S., 1988. "The Flexible Least Squares Approach to Time-Varying Linear Regression," Staff General Research Papers 11198, Iowa State University, Department of Economics.
  13. Charnes, A. & Cooper, W. W. & Golany, B. & Seiford, L. & Stutz, J., 1985. "Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 91-107.
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