Limited information estimation of a structural equation with moving average disturbances

MaRDI QIDQ2639554zbMATHFDO

Authors Aman Ullah, Simon Power

Publication date 1987

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

simultaneous equations modelnon-normal disturbanceslimited information two step estimatormoving average disturbances

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• The LIML estimator has finite moments!
• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
• Simultaneous equations with covariance restrictions
• Limited information estimators and exogeneity tests for simultaneous probit models

Cited in

(4)

• Least orthogonal distance estimator of structural parameters in simultaneous equation models
• Comment on: Fitting ARMA time series by structural equation models
• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances

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