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

DOI10.2307/2526171zbMATH Open0542.62097OpenAlexW2020983774MaRDI QIDQ3330366FDOQ3330366

Authors:

Publication date: 1981

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

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

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zbMATH Keywords

limited information maximum likelihood estimatorseemingly unrelated regression equationsvector moving average disturbances

Mathematics Subject Classification ID

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

Cited In (10)

• A classified bibliography of Monte Carlo studies in econometrics
• The limiting value of derivative estimators based on perturbation analysis
• Limited information estimation of a structural equation with moving average disturbances
• Limited information estimation and testing subject to linear constraints
• Codependent cycles
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• The Exact Distribution of LIML: I
• Estimation of simultaneous equation models with stochastic trend components
• The LIML estimator has finite moments!
• Origins of the limited information maximum likelihood and two-stage least squares estimators

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