Efficient Estimation of a Dynamic Error-Shock Model

DOI10.2307/2526313zbMATH Open0396.62085OpenAlexW2889890609MaRDI QIDQ4179732FDOQ4179732

Authors:

Publication date: 1978

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

Full work available at URL: http://www.nber.org/papers/w0157.pdf

zbMATH Keywords

Identification ProblemDynamic Error-Shock ModelDynamic Simultaneous Equation ModelsEfficient EstimationInstrumentsLagGed Exogenous Variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Multisectoral models in economics (91B66)

Cited In (4)

• Errors-in-variables methods in system identification
• Identification of simultaneous equation models with measurement errors based on time series structure
• Consistent estimation for some nonlinear errors-in-variables models
• An improved bias-compensation approach for errors-in-variables model identification

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