|
" Estimation of dynamic econometric models with errors in variables "
Jaime Terceiro Lomba.
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
722836
|
| Doc. No
|
:
|
b542548
|
| Main Entry
|
:
|
Jaime Terceiro Lomba.
|
| Title & Author
|
:
|
Estimation of dynamic econometric models with errors in variables\ Jaime Terceiro Lomba.
|
| Publication Statement
|
:
|
Berlín: Springer, 1990
|
| Series Statement
|
:
|
Lecture Notes in Economics and Mathematical Systems, 339
|
| Page. NO
|
:
|
viii, 116 p. ; 23 cm.
|
| ISBN
|
:
|
3540523588
|
|
|
:
|
: 9783540523581
|
| Contents
|
:
|
1. Introduction.- 2. Formulation of Econometric Models in State-Space.- 2.1. Structural Form, Reduced Form and State-Space Form.- 2.2. Additional Remarks.- 3. Formulation of Econometric Models with Measurement Errors.- 3.1. Model of the Exogenous Variables.- 3.2. State-Space Formulation.- 4. Estimation of Econometric Models with Measurement Errors.- 4.1. Evaluation of the Likelihood Function.- 4.2. Maximization of the Likelihood Function.- 4.3. Initial Conditions.- 4.4. Gradient Methods and Identification.- 4.5. Asymptotic Properties.- 4.6. Numerical Considerations.- 4.7. Model Verification.- 5. Extensions of the Analysis.- 5.1. Missing Observations and Contemporaneous Aggregation.- 5.2. Temporal Aggregation.- 5.3. Correlated Measurement Errors.- 6. Numerical Results.- 7. Conclusions.- Appendices.- A. Kalman Filter and Chandrasekhar Equations.- A.1. Kalman Filter.- A.2. Chandrasekhar Equations.- B. Calculation of the Gradient.- C. Calculation of the Hessian.- D. Calculation of the Information Matrix.- E. Estimation of the Initial Conditions.- F. Solution of the Lyapunov and Riccati Equations.- F.1. Lyapunov Equation.- F.2. Riccati Equation.- G. Fixed-Interval Smoothing Algorithm.- References.- Author Index.
|
| Subject
|
:
|
Econometría.
|
| Subject
|
:
|
Modelos econométricos.
|
| LC Classification
|
:
|
HB141.J356 1990
|
| Added Entry
|
:
|
Jaime Terceiro Lomba
|
| |