Limited information estimation of a structural equation with moving average disturbances

MaRDI QIDQ2639554zbMATH OpenFDO

Authors Aman Ullah, Simon Power

Publication date 1987

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

limited information two step estimatormoving average disturbancesnon-normal disturbancessimultaneous equations model

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

(5)

• 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
• scientific article; zbMATH DE number 1304672 (Why is no real title available?)
• Least orthogonal distance estimator of structural parameters in simultaneous equation models

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