Efficient Estimation of a Dynamic Error-Shock Model

DOI10.2307/2526313MaRDI QIDQ4179732zbMATH OpenOpenAlexFDO

Authors

Publication date 1978

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w0157.pdf

zbMATH Keywords

Dynamic Error-Shock ModelDynamic Simultaneous Equation ModelsEfficient EstimationIdentification ProblemInstrumentsLagGed Exogenous Variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Multisectoral models in economics (91B66)

Cited in

(4)

• Identification of simultaneous equation models with measurement errors based on time series structure
• An improved bias-compensation approach for errors-in-variables model identification
• Errors-in-variables methods in system identification
• Consistent estimation for some nonlinear errors-in-variables models

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