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

DOI10.2307/2526829zbMATH Open0687.62042OpenAlexW1980104370MaRDI QIDQ4206239FDOQ4206239

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

Recommendations

• Maximum likelihood estimation in models with two systematic parts
• scientific article; zbMATH DE number 3967699
• Estimation for the multivariate errors-in-variables model with estimated error covariance matrix
• Reduced rank regression with autoregressive errors
• scientific article; zbMATH DE number 3945222

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)

Cited In (3)

• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Inference on a regression model with noised variables and serially correlated errors
• Maximum likelihood estimation of multivariate polyserial and polychoric correlation coefficients

This page was built for publication: On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4206239)