Estimation of dynamic econometric models with errors in variables

zbMath0699.62103MaRDI QIDQ1188682

Jaime Terceiro Lomba

Publication date: 17 September 1992

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

aggregationKalman filtermissing observationsChandrasekhar equationssimulation studyerrors in variablesnumerical optimizationmeasurement errorsmaximum likelihood estimation of dynamic econometric modelsstate-space parameterization

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

Related Items

Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples ⋮ Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs ⋮ Evaluating the information matrix in linearized DSGE models ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ Separation theorem for independent subspace analysis and its consequences ⋮ The asymptotic and exact Fisher information matrices of a vector ARMA process ⋮ Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates ⋮ An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models ⋮ The exact likelihood for a state space model with stochastic inputs ⋮ On multiplicative seasonal modelling for vector time series ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models ⋮ Single and multiple error state-space models for signal extraction ⋮ Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples ⋮ Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules ⋮ A direct derivation of the exact Fisher information matrix of Gaussian vector state space models ⋮ A fast and stable method to compute the likelihood of time invariant state-space models.