Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances

DOI10.2307/2526493zbMath0431.62076OpenAlexW1564645295MaRDI QIDQ3868659

Charles M. Beach, James G. MacKinnon

Publication date: 1979

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526493

zbMATH Keywords

autoregressive disturbancesfull maximum likelihood proceduresinitial observationmaximum likelihood estimation of singular equation systemsstationary restrictions

Mathematics Subject Classification ID

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

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