Full maximum likelihood estimation of dynamic demand models

DOI10.1016/S0304-4076(97)81574-6zbMath0948.62079MaRDI QIDQ1377333

Philippe J. Deschamps

Publication date: 6 November 2000

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

zbMATH Keywords

matrix differential calculuserror-correction modelsautoregressive distributed lag modelsdynamic demand modelsfull likelihood function

Mathematics Subject Classification ID

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

Related Items

Exact small-sample inference in stationary, fully regular, dynamic demand models

Uses Software

• Microfit

Cites Work

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• A note on the maximum likelihood estimation of allocation systems
• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• A simple message for autocorrelation correctors: Don't
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
• Estimation and Hypothesis Testing in Dynamic Singular Equation Systems
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

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