Estimation of Dynamic Econometric Models with Errors in Variables
ISBN:
978-3-540-52358-1
Verlag:
Springer Berlin
Land des Verlags:
Deutschland
Erscheinungsdatum:
04.04.1990
Reihe:
Lecture Notes in Economics and Mathematical Systems
Format:
Softcover
Seitenanzahl:
121
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A new procedure for the maximum-likelihood estimation of dynamic econometric models with errors in both endogenous and exogenous variables is presented in this monograph. A complete analytical development of the expressions used in problems of estimation and verification of models in state-space form is presented. The results are useful in relation not only to the problem of errors in variables but also to any other possible econometric application of state-space formulations.
