On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors
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Publication:3048129
DOI10.2307/2525707zbMath0413.62090MaRDI 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
maximum likelihood; asymptotic distributions; autoregressive errors; dynamic simultaneous equations models; efficient two-step estimator; full information dynamic autoregressive
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
91B84: Economic time series analysis
91B62: Economic growth models
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