Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
From MaRDI portal
Publication:3868659
DOI10.2307/2526493zbMath0431.62076MaRDI QIDQ3868659
Charles M. Beach, James G. MacKinnon
Publication date: 1979
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526493
autoregressive disturbances; full maximum likelihood procedures; initial observation; maximum likelihood estimation of singular equation systems; stationary restrictions
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Seemingly unrelated regression on the autoregressive (Ar(p)) singular equation system, Autocorrelation specification in singular equation systems, Autocorrelation specification in singular equation systems, On the empirical exploitation of consumers' profit functions in static analyses, On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances, A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model, Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances, Full maximum likelihood estimation of dynamic demand models, VIX forecast under different volatility specifications, First-order serial correlation in seemingly unrelated regressions