A Comparison of Some Limited Information Estimators for Dynamic Simultaneous Equations Models with Autocorrelated Errors
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Publication:4051461
DOI10.2307/1911981zbMath0297.62081OpenAlexW2040670559MaRDI QIDQ4051461
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Publication date: 1974
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://www.econ.ucla.edu/workingpapers/wp025.pdf
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)
Related Items (5)
Editorial introduction ⋮ The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors† ⋮ The structure of simultaneous equations estimators ⋮ Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances ⋮ Limited information estimator of a dynamic structural equation with autocorrelated arrors: a correction and new evidence
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