Lecture Notes in Economics and Mathematical Systems

Terceiro Lomba, Jaime

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.

Details

Published by: Springer

Publication Date: 1990-04-04

Format: Paperback

ISBN-13: 9783540523581

DOI: 10.1007/978-3-642-48810-8

Dimensions: 244cm x170cm

Pages: 121