Estimation of Dynamic Econometric Models with Errors in Variables

Name: Estimation of Dynamic Econometric Models with Errors in Variables
Brand: Springer Nature
SKU: 9783540523581
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Springer Nature

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9783540523581

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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.

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