On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components

DOI10.2307/2526829MaRDI QIDQ4206239zbMATH OpenOpenAlexFDO

Authors Jan R. Magnus, Alan D. Woodland

Publication date 1988

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

Full work available at URL https://semanticscholar.org/paper/ec2426b3cc1f3ca8fd255d69395e7b81b5d826c4

zbMATH Keywords

serial correlationautocorrelationlikelihood functiondisturbance vectorscombined time-series cross-sectioncorrelated error componentsmacroeconomic disturbances

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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• A transformation that will circumvent the problem of autocorrelation in an error-component model
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• Maximum likelihood estimation of multivariate polyserial and polychoric correlation coefficients

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