On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components

DOI10.2307/2526829zbMath0687.62042OpenAlexW1980104370MaRDI QIDQ4206239

Alan D. Woodland, Jan R. Magnus

Publication date: 1988

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

Full work available at URL: https://semanticscholar.org/paper/ec2426b3cc1f3ca8fd255d69395e7b81b5d826c4

zbMATH Keywords

serial correlationlikelihood functionautocorrelationdisturbance vectorscombined time-series cross-sectioncorrelated error componentsmacroeconomic disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

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