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.
| ISBN: | 9783540523581 |
| Publication date: | 4th April 1990 |
| Author: | Jaime Terceiro Lomba |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 121 pages |
| Series: | Lecture Notes in Economics and Mathematical Systems |
| Genres: |
Economic theory and philosophy Probability and statistics |