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Analog estimation of econometric models

In: Handbook of Econometrics

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  • Manski, Charles F.

Abstract

Suppose that one wants to estimate a parameter characterizing some feature of a specified population. One has some prior information about the population and a random sample of observations. A widely applicable approach is to estimate the parameter by a sample analog; that is, by a statistic having the same properties in the sample as the parameter does in the population. If there is no such statistic, then one may choose an estimate that, in some well-defined sense, makes the known properties of the population hold as closely as possible in the sample. These are analog estimation methods. This chapter surveys some uses of analog methods to estimate two classes of econometric models, the separable and the response models.

Suggested Citation

  • Manski, Charles F., 1986. "Analog estimation of econometric models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 43, pages 2559-2582, Elsevier.
  • Handle: RePEc:eee:ecochp:4-43
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    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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