Estimation of Dynamic Econometric Models with Errors in Variables (Lecture Notes in Economics and Mathematical Systems): 339 - Brossura

Lomba, Jaime Terceiro

 
9783540523581: Estimation of Dynamic Econometric Models with Errors in Variables (Lecture Notes in Economics and Mathematical Systems): 339
Brossura
ISBN 10: 3540523588 ISBN 13: 9783540523581
Casa editrice: Springer, 1990

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Contenuti

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.

Product Description

European Book

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer
Data di pubblicazione
1990
Lingua
Inglese
ISBN 10 
3540523588
ISBN 13 
9783540523581
Rilegatura
Copertina flessibile
Numero edizione
1
Numero di pagine
132
Contatto del produttore
ProductSafety@springernature.com
ProductSafety@springernature.com

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Darmstadt
64293
Germania

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9780387523583: Estimation of Dynamic Econometric Models With Errors in Variables

Edizione in evidenza

ISBN 10:  0387523588 ISBN 13:  9780387523583
Brossura