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Mixed Estimation When the Model and/or Stochastic Restrictions are Nonlinear

Author

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  • Frank T. Denton

Abstract

The standard mixed estimation method allows the incorporation of linear stochastic constraints into the estimation of a linear regression model. The present paper shows how the method can be adapted and extended to accommodate nonlinearities in the model, in the constraints, or both. As an illustration, it shows how nonlinear constraints can be defined so as to impose strict bounds on parameters of the model, or functions of parameters.

Suggested Citation

  • Frank T. Denton, 2000. "Mixed Estimation When the Model and/or Stochastic Restrictions are Nonlinear," Quantitative Studies in Economics and Population Research Reports 345, McMaster University.
  • Handle: RePEc:mcm:qseprr:345
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    File URL: http://socserv.mcmaster.ca/qsep/p/qsep345.PDF
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    References listed on IDEAS

    as
    1. Tiff Macklem & David Rose & Robert Tetlow, "undated". "GOVERNMENT DEBT AND DEFICITS IN CANADA: A Macro Simulation Analysis," Staff Working Papers 95-4, Bank of Canada.
    2. Calvo, Guillermo A & Obstfeld, Maurice, 1988. "Optimal Time-Consistent Fiscal Policy with Finite Lifetimes," Econometrica, Econometric Society, vol. 56(2), pages 411-432, March.
    3. Diamond, Peter A., 1980. "An alternative to steady-state comparisons," Economics Letters, Elsevier, vol. 5(1), pages 7-9.
    4. Macklem, R Tiff, 1993. "Terms-of-Trade Disturbances and Fiscal Policy in a Small Open Economy," Economic Journal, Royal Economic Society, vol. 103(419), pages 916-936, July.
    5. Blanchard, Olivier J, 1985. "Debt, Deficits, and Finite Horizons," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 223-247, April.
    6. Søren Nielsen, 1994. "Social security and foreign indebtedness in a small open economy," Open Economies Review, Springer, vol. 5(1), pages 47-63, March.
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    More about this item

    Keywords

    mixed estimation; linear; nonlinear; constraints;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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