Estimation of Dynamic Econometric Models with Errors in Variables
ISBN: 9783642488108
Platform/Publisher: SpringerLink / Springer Berlin Heidelberg
Digital rights: Users: unlimited; Printing: unlimited; Download: unlimited
Subjects: Business and Economics;

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.


hidden image for function call