A conditional least squares estimation procedure for a disequilibrium market model with autocorrelated errors

DOI10.1016/0165-1765(86)90032-7zbMath1328.62637OpenAlexW2048287036MaRDI QIDQ899759

Sunil K. Sapra

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90032-7

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Semiparametric estimation from time series with long-range dependence ⋮ Estimation of disequilibrium and limited dependent variable models with serially dependent residuals

Cites Work

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• The likelihood function and a test for serial correlation in a disequilibrium market model
• Disequilibrium econometrics in dynamic models
• On conditional least squares estimation for stochastic processes
• Nonlinear Regression with Dependent Observations
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

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