Local and global identification and strong consistency in time series models

DOI10.1016/0304-4076(78)90048-9MaRDI QIDQ1148645zbMATH OpenOpenAlexFDO

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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• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• The Identifiability of Linear Econometric Models with Autocorrelated Errors
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• The efficient estimation of vector linear time series models
• Time Series Regression with Linear Constraints
• Vector linear time series models

Cited in

(4)

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

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