The misspecification of dynamic regression models

DOI10.1016/0378-3758(94)00038-7zbMath0849.62052OpenAlexW1978247769MaRDI QIDQ1918127

Evangelia Pitta, D. Stephen G. Pollock

Publication date: 6 November 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/293137

zbMATH Keywords

time seriesspectral analysismisspecified modelsasymptotic properties of estimatorsestimating dynamic regression relationships

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Uses Software

• Microfit

Cites Work

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• Misspecified models with dependent observations
• Time series analysis and simultaneous equation econometric models
• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• Modeling and Analysis of Closed-Loop Systems from Operating Data
• Convergence analysis of parametric identification methods
• The asymptotic theory of linear time-series models
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• Maximum Likelihood Estimation of Misspecified Models