Efficient estimation of models with composite disturbance terms

DOI10.1016/0304-4076(73)90019-5zbMath0282.62074OpenAlexW2023811198MaRDI QIDQ1844043

Adrian R. Pagan

Publication date: 1973

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

Full work available at URL: https://doi.org/10.1016/0304-4076(73)90019-5

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

Consistent estimation of equations with composite moving average disturbance terms ⋮ Formulation and estimation of dynamic models using panel data ⋮ Maximum likelihood estimation of the dynamic shock-error model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some consequences of superimposed error in time series analysis
• Prediction of an Autoregressive Variable Subject Both to Disturbances and to Errors of Observation
• Forecasting Non-Stationary Economic Time Series
• Rational Distributed Lag Functions
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• Consistent Estimation of Distributed Lags

This page was built for publication: Efficient estimation of models with composite disturbance terms