Instrumental Variables Estimators for State Space Models of Time Series

DOI10.1007/978-1-4612-0439-8_8MaRDI QIDQ3356213zbMATH OpenOpenAlexFDO

Authors Masanao Aoki

Publication date 1991

Published in New Trends in Systems Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4612-0439-8_8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Identification in stochastic control theory (93E12)

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(5)

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• Min-max optimal instrumental variable estimation method for multivariate linear time-series systems
• ON GOTT III'S DELTA t ARGUMENT : A GOOD TEST CREATING A BAD CONFIDENCE INTERVAL

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