Local and global identification and strong consistency in time series models

DOI10.1016/0304-4076(78)90048-9zbMATH Open0452.62074OpenAlexW2053809026MaRDI QIDQ1148645FDOQ1148645

Authors: S. H. Smith 

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90048-9

zbMATH Keywords

strong consistencytime series modelslocal identificationglobal identificationsequence of criterion functionssimultaneous ARMAX model

Mathematics Subject Classification ID

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

Cites Work

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• On the Global Identification of the Dynamic Simultaneous Equations Model with Stationary Disturbances
• The Identifiability of Linear Econometric Models with Autocorrelated Errors
• Maximum likelihood estimation for stochastic processes - a martingale approach
• The efficient estimation of vector linear time series models
• A comparison of estimation methods for vector linear time series models
• Asymptotic properties of time domain gaussian estimators
• Time Series Regression with Linear Constraints

Cited In (4)

• Some identification and estimation results for regression models with stochastically varying coefficients
• IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS
• A remark on serial correlation in maximum likelihood
• Some properties of the output error method

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