Estimation of Dynamic Econometric Models with Errors in Variables (Lecture Notes in Economics and Mathematical Systems, 339)
Terceiro Lomba, Jaime
ISBN 10: 3540523588 ISBN 13: 9783540523581
Editore: Springer, 1990
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Like New. Codice articolo ERICA79735405235886
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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.
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.
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Titolo: Estimation of Dynamic Econometric Models ...
Casa editrice: Springer
Data di pubblicazione: 1990
Legatura: Paperback
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ESTIMATION OF DYNAMIC ECONOMETRIC MODELS WITH ERRORS IN VARIABLES
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ISBN 10: 3540523588
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Estimation of Dynamic Econometric Models with Errors in Variables.
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Berlin, Springer Berlin / Heidelberg, 1990
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Softcover. 126 S. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library with stamp and library-signature. GOOD condition, some traces of use. 3540523588 Sprache: Englisch Gewicht in Gramm: 900. Codice articolo 2347834
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Estimation of Dynamic Econometric Models with Errors in Variables
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 an. Codice articolo 4892360
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Estimation of Dynamic Econometric Models with Errors in Variables (Lecture Notes in Economics and Mathematical Systems, 339)
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Estimation of Dynamic Econometric Models with Errors in Variables
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Springer Berlin Heidelberg, Springer Apr 1990, 1990
ISBN 10: 3540523588
ISBN 13: 9783540523581
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 132 pp. Englisch. Codice articolo 9783540523581
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Estimation of Dynamic Econometric Models with Errors in Variables
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Springer Berlin Heidelberg, 1990
ISBN 10: 3540523588
ISBN 13: 9783540523581
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Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Codice articolo 9783540523581
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Estimation of Dynamic Econometric Models with Errors in Variables
ISBN 10: 3540523588
ISBN 13: 9783540523581
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 132 pp. Englisch. Codice articolo 9783540523581
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Estimation of Dynamic Econometric Models With Errors in Variables
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Estimation of Dynamic Econometric Models with Errors in Variables (Paperback)
Editore:
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 1990
ISBN 10: 3540523588
ISBN 13: 9783540523581
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Paperback. Condizione: new. Paperback. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9783540523581
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Estimation of Dynamic Econometric Models with Errors in Variables (Lecture Notes in Economics and Mathematical Systems, 339)
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