An instrumental variables interpretation of linear systems theory estimation

DOI10.1016/0165-1889(88)90014-0zbMath0646.62106OpenAlexW2053355981MaRDI QIDQ1104021

Masanao Aoki, Arthur Havenner

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90014-0

zbMATH Keywords

parameter estimationModel specificationstate-space time series model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (10)

A solution to the positivity problem in the state-space approach to modeling vector-valued time series ⋮ Improved estimates of the parameters of state space time series models ⋮ A two-step state space time series modeling method ⋮ JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS ⋮ Model specification tests for balanced representation state space models ⋮ System theoretic time series: An application to inventories and prices of California range cattle ⋮ A Bayesian approach to state space multivariate time series modeling ⋮ A method for approximate representation of vector-valued time series and its relation to two alternatives ⋮ State space modeling of multiple time series ⋮ State space methods in asset pricing

Cites Work

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• Fast projection methods for minimal design problems in linear system theory

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