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An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models

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  • William R. Parke

Abstract

This paper presents a numerical algorithm for computing full information maximum likelihood (FIML) and nonlinear three-stage least squares (3SLS) coefficient estimates for large nonlinear macroeconomic models. The new algorithm, which is demonstrated by actually computing FIML and 3SLS coefficient estimates for two versions of the 97 equation Fair Model, is substantially more effective than other algorithms on FIML and 3SLS estimation problems.

Suggested Citation

  • William R. Parke, 1979. "An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models," Cowles Foundation Discussion Papers 537, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:537
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    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d05/d0537.pdf
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    1. Yi Ren & Yuan Tian & Chengqiu Zhang, 2022. "Investigating the mechanisms among industrial agglomeration, environmental pollution and sustainable industrial efficiency: a case study in China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(11), pages 12467-12493, November.

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