Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (Q579812): Difference between revisions
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A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters. | |||
Property / review text: A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 4015979 / rank | |||
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Property / zbMATH Keywords | |||
serial correlation | |||
Property / zbMATH Keywords: serial correlation / rank | |||
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Property / zbMATH Keywords | |||
recursive instrumental variable algorithm | |||
Property / zbMATH Keywords: recursive instrumental variable algorithm / rank | |||
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simultaneous equation model | |||
Property / zbMATH Keywords: simultaneous equation model / rank | |||
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autoregressive error terms | |||
Property / zbMATH Keywords: autoregressive error terms / rank | |||
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asymptotically efficient estimation | |||
Property / zbMATH Keywords: asymptotically efficient estimation / rank | |||
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structural parameters | |||
Property / zbMATH Keywords: structural parameters / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0167-9473(86)90031-9 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1990260677 / rank | |||
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Property / cites work | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 12:13, 18 June 2024
scientific article
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English | Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances |
scientific article |
Statements
Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (English)
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1986
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A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters.
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serial correlation
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recursive instrumental variable algorithm
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simultaneous equation model
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autoregressive error terms
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asymptotically efficient estimation
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structural parameters
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