Estimation of Dynamic Models with Error Components

DOI10.2307/2287517zbMath0491.62080OpenAlexW3125794091MaRDI QIDQ3953043

T. W. Anderson, Cheng Hsiao

Publication date: 1981

Full work available at URL: https://resolver.caltech.edu/CaltechAUTHORS:20171009-164034432

zbMATH Keywords

consistent estimatorinitial conditionsautoregressive processerror componentspseudo maximum likelihoodcovariance estimatorsconditional maximum likelihood estimatorsestimation of dynamic modelscross-section time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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