Estimation of simultaneous equation models with stochastic trend components

DOI10.1016/S0165-1889(06)80012-6zbMath0775.62345OpenAlexW2005724779MaRDI QIDQ1195786

S. Singh

Publication date: 13 January 1993

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(06)80012-6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
• Inference in Linear Time Series Models with some Unit Roots
• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors
• Multiple Equation Systems with Stationary Errors

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