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On the Identification and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors

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  • Rahiala, Markku

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  • Rahiala, Markku, . "On the Identification and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors," ETLA A, The Research Institute of the Finnish Economy, number 8.
    • Handle: RePEc:rif:abooks:8
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    References listed on IDEAS

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    1. Rice, John, 1979. "On the estimation of the parameters of a power spectrum," Journal of Multivariate Analysis, Elsevier, vol. 9(3), pages 378-392, September.
    2. Bhansali, R. J., 1983. "The inverse partial correlation function of a time series and its applications," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 310-327, June.
    3. Hatanaka, Michio, 1976. "Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 4(2), pages 189-204, May.
    4. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    5. Denise R. Osborn, 1976. "Maximum Likelihood Estimation of Moving Average Processes," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 75-87, National Bureau of Economic Research, Inc.
    6. Parzen, Emanuel, 1982. "Maximum entropy interpretation of autoregressive spectral densities," Statistics & Probability Letters, Elsevier, vol. 1(1), pages 7-11, July.
    7. Per Hokstad, 1983. "A Method For Diagnostic Checking Of Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 177-183, May.
    8. Sathe, S T & Vinod, H D, 1974. "Bounds on the Variance of Regression Coefficients Due to Heteroscedastic or Autoregressive Errors," Econometrica, Econometric Society, vol. 42(2), pages 333-340, March.
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