Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
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Publication:3704790
DOI10.2307/2297596zbMath0582.62097OpenAlexW1993530214MaRDI QIDQ3704790
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Publication date: 1986
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297596
instrumental variables estimatorlagged endogenous variablesincomplete, dynamic economic systemvector autoregressive moving average disturbances
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (3)
Estimation of simultaneous equation models with stochastic trend components ⋮ Min-max optimal instrumental variable estimation method for multivariate linear time-series systems ⋮ Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
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