ISSN:
1573-7845
Source:
Springer Online Journal Archives 1860-2000
Topics:
Sociology
Notes:
Abstract Prediction of economic and social systems is in general based on the assumption that the structure of the system does not vary over time. Such an assumption is seldom fulfilled. Often, at least some of the behavioral relations of a system are characterized by structural variability. The problem of reduced form estimation and prediction in systems with such partial structural variability is considered in the paper. A robust SF-RF strategy, combining direct, unrestricted and indirect, restricted reduced form estimation, is emphasized. This strategy, as well as more commonly applied alternatives of L 1- and L 2-norm estimation, is studied numerically within a small interdependent system with partially occurring, discrete parameter shifts. The different estimation techniques are evaluated with respect to structural form estimation and prediction performance. The study indicates advantages of the SF-RF strategy over considered alternatives.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00195406
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