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A Multicriteria Approach to Model Specification and Estimation

Author

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

Abstract

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://www2.econ.iastate.edu/tesfatsi/flshome.htm

Suggested Citation

  • Kalaba, Robert E. & Tesfatsion, Leigh S., 1996. "A Multicriteria Approach to Model Specification and Estimation," Staff General Research Papers Archive 1684, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genres:1684
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    Cited by:

    1. Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Economics Bulletin, AccessEcon, vol. 29(2), pages 1139-1155.
    2. Josipa VIŠIC & Blanka ŠKRABIC, 2010. "Determinants of Incoming Cross-Border M&A: Evidence from European Transition Economies," EcoMod2010 259600168, EcoMod.
    3. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
    4. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An objective function for simulation based inference on exchange rate data," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 125-145, December.
    5. Zsolt Darvas & Balázs Varga, 2012. "Uncovering Time-Varying Parameters with the Kalman-Filter and the Flexible Least Squares: a Monte Carlo Study," Working Papers 1204, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
    6. Hayette Gatfoui & Christian Walter, 2009. "Less Can Be More!," Post-Print hal-04515402, HAL.

    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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