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An instrumental variables interpretation of linear systems theory estimation

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  • Havenner, Arthur
  • Aoki, Masanao

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  • Havenner, Arthur & Aoki, Masanao, 1988. "An instrumental variables interpretation of linear systems theory estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 49-54, March.
  • Handle: RePEc:eee:dyncon:v:12:y:1988:i:1:p:49-54
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    Cited by:

    1. Havenner, Arthur & Zhiqiang Leng, 1996. "Improved estimates of the parameters of state space time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 767-789, May.
    2. Foster, Kenneth A. & Havenner, Arthur M., 1999. "Cointegration And Settlement Of Commodity Futures Contracts," Macroeconomic Dynamics, Cambridge University Press, vol. 3(02), pages 226-242, June.
    3. Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
    4. Anderson, Heather M. & Vahid, Farshid, 2007. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 76-90, January.
    5. Masanao Aoki, 1991. "Two Complementary Representations of Multiple Time Series in State Space Innovation Forms," UCLA Economics Working Papers 628, UCLA Department of Economics.
    6. Criddle, Keith R. & Havenner, Arthur M., 1989. "An Encompassing Approach To Modeling Fishery Dynamics," Working Papers 225824, University of California, Davis, Department of Agricultural and Resource Economics.
    7. Masanao Aoki, 1989. "Instrumental variable estimators for state space models," Discussion Paper / Institute for Empirical Macroeconomics 19, Federal Reserve Bank of Minneapolis.

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