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Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process

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  • Hendry, D F

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  • Hendry, D F, 1971. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 257-272, June.
  • Handle: RePEc:ier:iecrev:v:12:y:1971:i:2:p:257-72
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    Citations

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    Cited by:

    1. Geoffrey M. Heal, 1975. "The Influence of Interest Rates on Resource Prices," Cowles Foundation Discussion Papers 407, Cowles Foundation for Research in Economics, Yale University.
    2. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    3. 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.
    4. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix," MPRA Paper 28806, University Library of Munich, Germany.
    5. Phoebus J. Dhrymes, 1971. "Full Information Estimation of Dynamic Simultaneous Equations Models with Autoregressive Errors," UCLA Economics Working Papers 008, UCLA Department of Economics.
    6. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.
    7. Gunnar Bardsen & Eilev Jansen & Ragnar Nymoen, 2002. "Model Specification and Inflation Forecast Uncertainty," Annals of Economics and Statistics, GENES, issue 67-68, pages 495-517.
    8. Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    9. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
      [Forecast variance in econometric models]
      ," MPRA Paper 23866, University Library of Munich, Germany.
    10. Calzolari, Giorgio & Panattoni, Lorenzo, 1983. "Hessian and approximated Hessian matrices in maximum likelihood estimation: a Monte Carlo study," MPRA Paper 28847, University Library of Munich, Germany.
    11. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Alternative estimates of the Klein-I model," MPRA Paper 23337, University Library of Munich, Germany, revised Sep 1981.
    12. Fisher, Brian S., 1979. "The Demand For Meat - An Example Of An Incomplete Commodity Demand System," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 23(03), December.
    13. Anonymous, 1979. "On Biased Technological Progress: Comment and Extension," Working Papers 225650, University of California, Davis, Department of Agricultural and Resource Economics.
    14. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
    15. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

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