FIML estimation of dynamic econometric systems from inconsistent data

DOI10.1080/00207728508926652zbMath0562.62097OpenAlexW2008921833MaRDI QIDQ3675389

Frederick van der Ploeg

Publication date: 1985

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728508926652

zbMATH Keywords

measurement errorsKalman-Bucy filterdiscrete-time dynamic modelsFIML estimationgeneralized least-squares procedurelog-likelihood criterion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Estimation and detection in stochastic control theory (93E10) Probabilistic methods, stochastic differential equations (65C99)

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