Full maximum likelihood estimation of dynamic demand models

DOI10.1016/S0304-4076(97)81574-6zbMATH Open0948.62079MaRDI QIDQ1377333FDOQ1377333

Authors: Philippe J. Deschamps 

Publication date: 6 November 2000

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

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zbMATH Keywords

matrix differential calculuserror-correction modelsautoregressive distributed lag modelsdynamic demand modelsfull likelihood function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

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• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
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• Estimation and Hypothesis Testing in Dynamic Singular Equation Systems
• Title not available (Why is that?)
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• A note on the maximum likelihood estimation of allocation systems
• A simple message for autocorrelation correctors: Don't
• Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances

Cited In (6)

• Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
• A likelihood approach to estimating market equilibrium models
• Maximum likelihood estimation of input demand models with fixed costs of adjustment
• Specification and Identification of Stochastic Demand Models
• Title not available (Why is that?)
• Exact small-sample inference in stationary, fully regular, dynamic demand models

Uses Software

• Microfit

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