Maximum likelihood estimation of the dynamic shock-error model

Journal of Econometrics

Volumn 41, Issue 1, 1989, Pages 121-143

  Ghosh, Damayanti ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38249023348     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(89)90045-6     Document Type: Article

References (23)

1. Latent variable models in econometrics
2. Martingal central limit theorems
3. The EM approach to the multiple indicator and multiple cause model via the estimation of the latent variable
4. Maximum likelihood estimation for dependent observations
5. Maximum likelihood from incomplete data via the EM algorithm
6. A one factor multivariate time series model of metropolitan wage rates
7. Identification of the dynamic shock-error model: The case of dynamic regression
8. Identification in control and econometrics: similarities and differences
9. Efficient estimation of models with composite disturbance terms
10. Evaluation of likelihood functions for Gaussian signals
11. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
12. On the convergence properties of the EM algorithm