How to backout parameters underlying estimated coefficients?

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mguennew
Posts: 1
Joined: Thu Apr 16, 2015 9:52 am

How to backout parameters underlying estimated coefficients?

Postby mguennew » Thu Apr 16, 2015 10:07 am

Dear EViews forum users and admins,

I would like estimate the following equation:

C(t) = λ0 + λ1*C(t-1) + λ2*Y(t-1) + λ3*Y(t-2) + λ4*G(t-1) + λ5*G(t-2) + v(t).

However, I am not interested in the obtained estimations for the lambdas. There is a system of nonlinear equations underlying the regression coefficients, they are functions of my model's structural parameters, i.e. λ0 = ƒ(α,δ,θ,κ,μ,π) and λ1 = g(α,δ,θ,κ,μ,π) etc.
I would like to back out the structural parameters of interest and test them for significance (whether they significantly deviate from 0 or 1 respectively).

This should be feasible in EViews when using FIML estimation methods. Does anybody know how to do this?

Thank you very much in advance, I appreciate any help.

Best regards,
Maximilian

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: How to backout parameters underlying estimated coefficie

Postby startz » Thu Apr 16, 2015 12:09 pm

You may be able to do this simply by substituting f(), g(), etc. for the coefficients and doing nonlinear regression.


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