Ebook: Estimation of Dynamic Econometric Models with Errors in Variables

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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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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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.
Content:
Front Matter....Pages I-VIII
Introduction....Pages 1-4
Formulation of Econometric Models in State-Space....Pages 5-16
Formulation of Econometric Models with Measurement Errors....Pages 17-23
Estimation of Econometric Models with Measurement Errors....Pages 24-48
Extensions of the Analysis....Pages 49-55
Numerical Results....Pages 56-67
Conclusions....Pages 68-69
Back Matter....Pages 70-120

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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.
Content:
Front Matter....Pages I-VIII
Introduction....Pages 1-4
Formulation of Econometric Models in State-Space....Pages 5-16
Formulation of Econometric Models with Measurement Errors....Pages 17-23
Estimation of Econometric Models with Measurement Errors....Pages 24-48
Extensions of the Analysis....Pages 49-55
Numerical Results....Pages 56-67
Conclusions....Pages 68-69
Back Matter....Pages 70-120
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