Large sample estimation and testing procedures for dynamic equation systems

DOI10.1016/0304-4076(80)90056-1zbMath0425.62074MaRDI QIDQ1135604

S. H. Smith

Publication date: 1980

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

Full work available at URL: http://hdl.handle.net/1871/11748

zbMATH Keywords

maximum likelihood estimator; large sample estimation; multivariate dynamic model; normally distributed vector-moving average errors

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics