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

DOI10.2307/2525707zbMATH Open0413.62090OpenAlexW1964311794MaRDI QIDQ3048129FDOQ3048129

Authors: Phoebus J. Dhrymes, John B. Taylor 

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

Cited In (6)

• OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
• Some identification and estimation results for regression models with stochastically varying coefficients
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Large sample estimation and testing procedures for dynamic equation systems
• Title not available (Why is that?)
• Linear regression using both temporally aggregated and temporally disaggregated data

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