The LIML and Related Estimators of an Equation with Moving Average Disturbances

DOI10.2307/2526171zbMath0542.62097OpenAlexW2020983774MaRDI QIDQ3330366

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Publication date: 1981

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

Full work available at URL: https://doi.org/10.2307/2526171

zbMATH Keywords

limited information maximum likelihood estimatorseemingly unrelated regression equationsvector moving average disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (5)

Codependent cycles ⋮ Limited information estimation and testing subject to linear constraints ⋮ A classified bibliography of Monte Carlo studies in econometrics ⋮ Estimation of simultaneous equation models with stochastic trend components ⋮ Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models

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