Maximum likelihood estimation of the dynamic shock-error model

DOI10.1016/0304-4076(89)90045-6MaRDI QIDQ583814zbMATH OpenOpenAlexFDO

Authors Damayanti Ghosh

Publication date 1989

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

Full work available at URL https://doi.org/10.1016/0304-4076(89)90045-6

zbMATH Keywords

asymptotic normalityconsistencyconsistent estimate of the information matrixdynamic shock-error modelKalman filteringmaximum likelihood estimatesstate-space representationtime domain

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(9)

• Estimation of dynamic econometric models with errors in variables
• Estimation of quantized linear errors-in-variables models
• Identification of ARX and ARARX models in the presence of input and output noises
• scientific article; zbMATH DE number 3923929 (Why is no real title available?)
• On-line estimation of dynamic shock-error models based on the Kullback Leibler information measure
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• The strong consistency of quasi-maximum likelihood estimators for p-order random coefficient autoregressive (RCA) models
• Global identification of the dynamic shock-error model
• Identification of the dynamic shock-error model with autocorrelated errors

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