Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder)

DOI10.1016/0304-4076(81)90066-XzbMath0475.62088MaRDI QIDQ1159436

S. H. Smith

Publication date: 1981

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

zbMATH Keywords

transfer functionasymptotic efficiencytwo-step estimatorconsistent initial estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Consistent estimation of equations with composite moving average disturbance terms

Cites Work

• Unnamed Item
• Large sample estimation and testing procedures for dynamic equation systems
• Comment to: Large sample estimation and testing procedures for dynamic equation systems
• The estimation of ARMA models
• Gains in efficiency from joint estimation of systems of autoregressive- moving average processes
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Time series analysis and simultaneous equation econometric models
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• Factorization of the Covariance Generating Function of a Pure Moving Average Process

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