Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models

DOI10.1016/0304-4076(74)90004-9zbMath0347.62083OpenAlexW2078119864MaRDI QIDQ1234155

Phoebus J. Dhrymes, Halûk Erlat

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90004-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items

A Monte Carlo study of some limited and full information simultaneous equation estimators with normal and nonnormal autocorrelated disturbances, Unnamed Item, Editorial introduction, The structure of simultaneous equations estimators, Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances, Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances, FIML estimation of the dynamic simultaneous equations model with ARMA disturbances, FIML estimation of dynamic econometric systems from inconsistent data

Cites Work

• The central limit theorem for dependent random variables
• Small Sample and Asymptotic Relations Between Maximum Likelihood and Three Stage Least Squares Estimators
• On the Statistical Treatment of Linear Stochastic Difference Equations
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