Large sample estimation and testing procedures for dynamic equation systems

DOI10.1016/0304-4076(80)90056-1zbMath0425.62074OpenAlexW2244129212MaRDI QIDQ1135604

S. H. Smith

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1871/11748

zbMATH Keywords

maximum likelihood estimatorlarge sample estimationmultivariate dynamic modelnormally distributed vector-moving average errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Studying co-movements in large multivariate data prior to multivariate modelling, Consistent estimation of equations with composite moving average disturbance terms, Comment to: Large sample estimation and testing procedures for dynamic equation systems, Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder), State space modeling of multiple time series

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