Estimation of Dynamic Econometric Models with Errors in Variables

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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.

Boekdetails

Serie: Lecture Notes in Economics and Mathematical Systems
Ondertitel: Lecture Notes in Economics and Mathematical Systems
Formaat: Paperback / softback

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