FIML estimation of dynamic econometric systems from inconsistent data

DOI10.1080/00207728508926652MaRDI QIDQ3675389zbMATH OpenOpenAlexFDO

Authors Frederick van der Ploeg

Publication date 1985

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728508926652

zbMATH Keywords

discrete-time dynamic modelsFIML estimationgeneralized least-squares procedureKalman-Bucy filterlog-likelihood criterionmeasurement errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99) Estimation and detection in stochastic control theory (93E10)

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Cited in

(1)

• scientific article; zbMATH DE number 3894438 (Why is no real title available?)

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