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- Title
ERRORS IN VARIABLES AND SERIALLY CORRELATED DISTURBANCES IN DISTRIBUTED LAG MODELS.
- Authors
Grether, D. M.; Maddala, G. S.
- Abstract
The article considers three types of distributed lag models (DLM) which are found in econometric literature on the problem of errors in variables. The first model depend only upon the current level of x and a finite number of lagged x's. The second DLM is in distributed lag form where the model is specified with only exogenous variables on the right hand side. The third DLM has an autoregressive form, like lagged values of the dependent variable are included in the set of explanatory variables. In all three models the exogenous variables are observed with a measurement error which is uncorrelated with the other variables.
- Subjects
ESTIMATION theory; ECONOMETRICS; MATHEMATICAL models; FACTORS of production; STATISTICS; ERROR; LEAST squares; STOCHASTIC processes; MATHEMATICAL statistics
- Publication
Econometrica, 1973, Vol 41, Issue 2, p255
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/1913488