Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors

DOI10.2307/2297596MaRDI QIDQ3704790zbMATH OpenOpenAlexFDO

Authors

Publication date 1986

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2297596

zbMATH Keywords

incomplete, dynamic economic systeminstrumental variables estimatorlagged endogenous variablesvector autoregressive moving average disturbances

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
• scientific article; zbMATH DE number 4074935
• Optimal instrumental variables estimation for ARMA models
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Instrumental-Variable Estimation of an Error-Components Model

Cited in

(17)

• An instrumental variables interpretation of linear systems theory estimation
• Estimation of simultaneous equation models with stochastic trend components
• Asymptotic normality of the instrumental variable estimates for ARIMA(\(p,m,q\)) processes
• Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
• Inference in dynamic models containing 'surprise' variables
• Some small-sample properties of instrumental-variables estimators of block triangular models
• Simulated minimum distance estimation of dynamic models with errors-in-variables
• Min-max optimal instrumental variable estimation method for multivariate linear time-series systems
• The informative sample size for dynamic multiple equation systems with moving average errors
• scientific article; zbMATH DE number 4203525 (Why is no real title available?)
• scientific article; zbMATH DE number 4074935 (Why is no real title available?)
• On statistical properties of a test for model structure selection using the extended instrumental variable approach
• OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Optimal instrumental variables estimation for ARMA models
• An Instrumental Variable Approach to Dynamic Models

This page was built for publication: Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3704790)