Consistent estimation of equations with composite moving average disturbance terms

DOI10.1016/0304-4076(93)90080-OMaRDI QIDQ594525zbMATH OpenOpenAlexWikidataFDO

Authors Sumit K. Garg

Publication date 1983

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(93)90080-o

zbMATH Keywords

composite moving average disturbance termsconsistencyestimationsingle-equation non-linear least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• Analysis of Regressions Containing Serially Correlated and Serially Uncorrelated Error Components
• Comment to: Large sample estimation and testing procedures for dynamic equation systems
• Econometric Implications of the Rational Expectations Hypothesis
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Efficient estimation of models with composite disturbance terms
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
• scientific article; zbMATH DE number 3550024 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3190822 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• Large sample estimation and testing procedures for dynamic equation systems
• Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder)
• Least squares estimation in dynamic-disturbance time series models
• Least squares estimation in the regression model with autoregressive-moving average errors
• Rational Expectations and the Estimation of Econometric Models
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Some consequences of superimposed error in time series analysis
• Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation
• System identification. A survey
• THE ESTIMATION OF PARAMETERS IN SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• Time series analysis and simultaneous equation econometric models

Cited in

(4)

• Inference in dynamic models containing 'surprise' variables
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• Measurement errors in dynamic models
• Critical bounds for MA(2) and MA(3) processes

This page was built for publication: Consistent estimation of equations with composite moving average disturbance terms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q594525)