On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors

DOI10.2307/2525707zbMath0413.62090OpenAlexW1964311794MaRDI QIDQ3048129

John B. Taylor, Phoebus J. Dhrymes

Publication date: 1976

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2525707

zbMATH Keywords

maximum likelihoodasymptotic distributionsautoregressive errorsdynamic simultaneous equations modelsefficient two-step estimatorfull information dynamic autoregressive

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Economic time series analysis (91B84) Economic growth models (91B62)

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