Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
From MaRDI portal
Publication:3868659
DOI10.2307/2526493zbMath0431.62076OpenAlexW1564645295MaRDI QIDQ3868659
Charles M. Beach, James G. MacKinnon
Publication date: 1979
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526493
autoregressive disturbancesfull maximum likelihood proceduresinitial observationmaximum likelihood estimation of singular equation systemsstationary restrictions
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
VIX forecast under different volatility specifications ⋮ A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model ⋮ Full maximum likelihood estimation of dynamic demand models ⋮ First-order serial correlation in seemingly unrelated regressions ⋮ Seemingly unrelated regression on the autoregressive (Ar(p)) singular equation system ⋮ Autocorrelation specification in singular equation systems ⋮ Autocorrelation specification in singular equation systems ⋮ On the empirical exploitation of consumers' profit functions in static analyses ⋮ Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances ⋮ On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances
This page was built for publication: Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances