Several approaches to the formulation and estimation of dynamic factor demand systems under non-static expectations on the exogenous variables in the firm’s decision process have been suggested. Among those approaches there are trade-offs in terms of statistical and computational efficiency, the generality with which the technology and the expectation formation process can be specified, and in terms of informational requirements.
A Comparison of Alternative Methods for the Estimation of Dynamic Factor Demand Models under Nonstatic ExpectationsM. Ishaq Nadiri and Ingmar Prucha ,
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Journal of Econometrics
A Comparison of Alternative Methods for the Estimation of Dynamic Factor Demand Models under Nonstatic Expectations