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STRUCTURAL IDENTIFICATION METHOD OF SIMULTANEOUS EQUATIONS SYSTEMS
Alexander Gorobets
Department of Management and economics and mathematical methods
Sevastopol state technical university, Streletskaya bay, Sevastopol 99053, Ukraine
Tel.: (+380-692) 54-15-42, Fax (+380-692) 24-35-90,
E-mail: alex-gorobets@mail.ru
The objective of this paper is to develop the method for selection of the optimal structure of simultaneous equation system from the given model set in the condition of the limited sample of observations. The identification purpose is the model selection with the best predictive possibility. The information criteria for selecting the best model of nonlinear simultaneous equation system from the given models set are offered. The selection properties of these criteria are investigated by Monte-Carlo simulations. Copyright ã 2002 IFAC.
Keywords: Simultaneous equations; simulation; criteria, selection
Session slot T-Mo-A21: System Engineering, Management and Control Education/Area code 5e : Computation in Economic, Financial and Engineering-Economic Systems
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