عنوان

Estimation of dynamic econometric models with errors in variables

(Number (ISBN

3540523588

(Number (ISBN

9783540523581

Number

b542548

Title Proper

Estimation of dynamic econometric models with errors in variables

General Material Designation

[Book]

First Statement of Responsibility

Jaime Terceiro Lomba.

Place of Publication, Distribution, etc.

Berlín

Name of Publisher, Distributor, etc.

Springer

Date of Publication, Distribution, etc.

1990

Specific Material Designation and Extent of Item

viii, 116 p. ; 23 cm.

Series Title

Lecture Notes in Economics and Mathematical Systems, 339

Text of Note

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.

Econometría.

Modelos econométricos.

Class number

Book number

Jaime Terceiro Lomba.

Jaime Terceiro Lomba

Electronic name

[Book]

Y