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FIML estimation of the dynamic simultaneous equations model with ARMA disturbances

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  • Reinsel, Greg

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  • Reinsel, Greg, 1979. "FIML estimation of the dynamic simultaneous equations model with ARMA disturbances," Journal of Econometrics, Elsevier, vol. 9(3), pages 263-281, February.
    • Handle: RePEc:eee:econom:v:9:y:1979:i:3:p:263-281
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    Cited by:

    1. Turkington, Darrell A., 1998. "Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 85(1), pages 51-74, July.
    2. Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2958-2986, July.
    3. J. Campos, 1986. "Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(1), pages 125-138.
    4. Dong Wan Shin & Sahadeb Sarkar, 1995. "Estimation Of The Multivariate Autoregressive Moving Average Having Parameter Restrictions And An Application To Rotational Sampling," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 431-444, July.
    5. Hall, Anthony David & Pagan, Adrian Rodney, 1981. "The LIML and Related Estimators of an Equation with Moving Average Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 719-730, October.

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