Abstract
In this paper we investigate the class of control strategies that are optimal for estimation in the context of an econometric model where attention is limited to & admissible sample points which have been chosen so that the relevant region is adequately covered. A new sequential procedure for handling nonlinear restrictions on reduced form coefficients implied by the structural form is suggested. This procedure is shown to resolve the conceptual difficulties inherent in alternative formulations. The maximum accuracy problem considered in this paper can also be treated as an initial phase of a stochastic control problem. This will avoid solution to a difficult dual control problem.
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