Large sample estimation and testing procedures for dynamic equation systems |
| |
Authors: | Franz Palm Arnold Zellner |
| |
Institution: | Free University of Amsterdam, Amsterdam, The Netherlands;University of Chicago, Chicago, IL 60637, USA |
| |
Abstract: | Joint two-step estimation procedures which have the same asymptotic properties as the maximum likelihood (ML) estimator are developed for the final equation, transfer function and structural form of a multivariate dynamic model with normally distributed vector-moving average errors. The ML estimator under fixed and known initial values is obtained by iterating the procedure until convergence. The asymptotic distribution of the two-step estimators is used to construct large sample testing procedures for the different forms of the model. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|