Chapter

Estimation

Qin Duo

in The Formation of Econometrics

Published in print July 1997 | ISBN: 9780198292876
Published online November 2003 | e-ISBN: 9780191596803 | DOI: http://dx.doi.org/10.1093/0198292872.003.0004
 Estimation

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Narrates the process of how estimation was formalized. Estimation can be seen as the genesis of econometrics, since finding estimates for coefficients of economically meaningful relationships has always been the central motive and fulfilment of applied modelling activities. The process therefore became separated out as one of the basic steps along with model construction, identification, and testing. Subsequent research activities in estimation were confined to technical development of new optimal estimators for increasingly complicated model forms. The first section of the chapter describes the early developments in estimation methods centring around the least squares (LS) principle; how this led to the maximum‐likelihood (ML) method in a simultaneous‐equations system is the content of the second section; the third section turns to look at special problems in the context of time‐series analysis; other developments concerning errors‐in‐variables models are summed up in the fourth section; and the final completion of basic estimation theory in orthodox econometrics takes up the final section.

Keywords: coefficients; econometric modelling; econometric models; econometrics; errors‐in‐variables models; estimation; estimation theory; history; least squares method; maximum‐likelihood method; simultaneous‐equations model formulation; time‐series analysis

Chapter.  10707 words. 

Subjects: History of Economic Thought

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