An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
type: Item
instance of: scholarly article
title: An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
zbMATH Open document ID: 0287.62065
DOI: 10.1016/0304-4076(74)90001-3
author: Michio Hatanaka
published in: Journal of Econometrics
publication date: 1974-01-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 60H99
zbMATH DE Number: 3451347
MaRDI profile type: Publication
full work available at URL: 0304-4076(74)90001-3
OpenAlex ID: W2034037441
cites work: Maximum likelihood identification of Gaussian autoregressive moving average models
cites work: A Comparative Study of Alternative Estimators in a Distributed Lag Model
cites work: Q5681430
cites work: Q5631914
cites work: Q5663204
cites work: Q5663203
cites work: EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
cites work: The Fitting of Time-Series Models
cites work: The estimation of mixed moving average autoregressive systems
cites work: Q5612941
cites work: The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models
cites work: On Limit Theorems for Quadratic Functions of Discrete Time Series
cites work: The asymptotic theory of linear time-series models
cites work: Central limit theorems for time series regression
cites work: Multiple Equation Systems with Stationary Errors
cites work: Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
cites work: Consistent Estimation of Distributed Lags
cites work: Generalized Least Squares with an Estimated Variance Covariance Matrix
cites work: Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
cites work: Least squares estimation in dynamic-disturbance time series models
cites work: Q5511769
cites work: Efficient Estimation of Simultaneous Equation Systems
cites work: Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
cites work: The Role of Approximate Prior Restrictions in Distributed Lag Estimation
cites work: Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
cites work: The Efficiency of the Two-Step Estimator
cites work: On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
description: scientific article; zbMATH DE number 3451347