Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions

DOI10.2307/2526188zbMath0445.62119OpenAlexW2087365348MaRDI QIDQ3889983

Robert F. Engle

Publication date: 1980

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

Full work available at URL: https://doi.org/10.2307/2526188

zbMATH Keywords

band spectrum regressiondynamic regression modelsexact maximum likelihood estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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Optimal instrumental-variable methods for identification of multivariable linear systems ⋮ Order-recursive methods for instrumental variable estimates and instrumental variable inverses ⋮ Seasonality in dynamic regression models. A comparative study of finite sample properties of various regression estimators including band spectrum regression ⋮ Estimation and testing linearity for non-linear mixed Poisson autoregressions ⋮ Generalized spectral estimation of the consumption-based asset pricing model ⋮ Testing for a unit root by frequency domain regression

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