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A Multicriteria Approach to Model Specification and Estimation

  • Kalaba, Robert E.
  • Tesfatsion, Leigh S.

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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Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 1684.

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Date of creation: 01 Jan 1996
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Publication status: Published in Computational Statistics and Data Analysis 1996, vol. 21, pp. 193-214
Handle: RePEc:isu:genres:1684
Contact details of provider: Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
Web page: http://www.econ.iastate.edu
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  1. 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.
  2. Kalaba, Robert & Rasakhoo, Nima & Tesfatsion, Leigh, 1989. "A FORTRAN program for time-varying linear regression via flexible least squares," Computational Statistics & Data Analysis, Elsevier, vol. 7(3), pages 291-309, February.
  3. Kalaba, R. & Tesfatsion, L., 1989. "A Multicriteria Approach To Dynamic Estimation," Papers 8904, Southern California - Department of Economics.
  4. Leamer, Edward E, 1985. "Sensitivity Analyses Would Help," American Economic Review, American Economic Association, vol. 75(3), pages 308-13, June.
  5. 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.
  6. Kalaba, Robert & Tesfatsion, Leigh, 1988. "The flexible least squares approach to time-varying linear regression," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 43-48, March.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Kalaba, R. & Tesfatsion, L., 1988. "An Organizing Principle For Dynamic Estimation," Papers m8818, Southern California - Department of Economics.
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