On the efficient estimation methods for the macro-economic models nonlinear in variables

Abstract

All the macro-economic models have the nonlinearity in variables within their simultaneous equations systems. I propose a full information estimation method for such models. The method is (i) asymptotically efficient, (ii) feasible in the contemporary computer technology as it consists of calculations very much like the nonlinear multipliers, and (iii) hopefully applicable to the undersized sample case which prevails in the macro-economic model building. Though two other methods are also investigated, one is found to be asymptotically inefficient, and another turns out to be inapplicable to the undersized sample case.