We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
MULTIPLE EQUATION SYSTEMS WITH STATIONARY ERRORS.
- Authors
Hannan, E. J.; Terrell, R. D.
- Abstract
The article reports on the development of an efficient estimation method when there is no set of independent random vectors and to prove some asymptotic theorems concerning the results. When a variable is assumed to be Gaussian, the likelihood function is established and maximized. The asymptotic distribution for the maximum likelihood estimates can be found by removing the Gaussian assumption. The estimates are regarded as efficient if they had the same asymptotic distribution as the maximum likelihood estimates.
- Subjects
ASYMPTOTIC expansions; DIFFERENCE equations; STOCHASTIC convergence; ESTIMATION theory; DISTRIBUTION (Probability theory); CENTRAL limit theorem; NUMERICAL analysis; MATHEMATICAL functions; PROBABILITY theory
- Publication
Econometrica, 1973, Vol 41, Issue 2, p299
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/1913491