IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v12y1980i3p251-283.html
   My bibliography  Save this article

Large sample estimation and testing procedures for dynamic equation systems

Author

Listed:
  • Palm, Franz
  • Zellner, Arnold

Abstract

No abstract is available for this item.

Suggested Citation

  • Palm, Franz & Zellner, Arnold, 1980. "Large sample estimation and testing procedures for dynamic equation systems," Journal of Econometrics, Elsevier, vol. 12(3), pages 251-283, April.
    • Handle: RePEc:eee:econom:v:12:y:1980:i:3:p:251-283
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4076(80)90056-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Nelson, Charles R., 1976. "Gains in efficiency from joint estimation of systems of autoregressive-moving average processes," Journal of Econometrics, Elsevier, vol. 4(4), pages 331-348, November.
    2. M. H. Pesaran, 1973. "Exact Maximum Likelihood Estimation of a Regression Equation with a First-Order Moving-Average Error," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(4), pages 529-535.
    3. Aigner, Dennis J, 1971. "A Compendium on Estimation of the Autoregressive-Moving Average Model from Time Series Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 348-371, October.
    4. Ansley, Craig F. & Spivey, W. Allen & Wrobleski, William J., 1977. "On the structure of moving average processes," Journal of Econometrics, Elsevier, vol. 6(1), pages 121-134, July.
    5. Hatanaka, Michio, 1975. "On the Global Identification of the Dynamic Simultaneous Equations Model with Stationary Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 545-554, October.
    6. Hatanaka, Michio, 1976. "Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 4(2), pages 189-204, May.
    7. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
    8. Swamy, Paravastu A. V. B. & Rappoport, Paul N., 1978. "Relative efficiencies of some simple Bayes estimators of coefficients in a dynamic equation with serially correlated errors - II," Journal of Econometrics, Elsevier, vol. 7(2), pages 245-258, June.
    9. Kent D. Wall, 1976. "FIML Estimation of Rational Distributed Lag Structural Form Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 53-63, National Bureau of Economic Research, Inc.
    10. Dhrymes, Phoebus J & Taylor, John B, 1976. "On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 362-376, June.
    11. Denise R. Osborn, 1976. "Maximum Likelihood Estimation of Moving Average Processes," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 75-87, National Bureau of Economic Research, Inc.
    12. Hannan, E J, 1971. "The Identification Problem for Multiple Equation Systems with Moving Average Errors," Econometrica, Econometric Society, vol. 39(5), pages 751-765, September.
    13. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
    14. Palm, Franz, 1977. "On univariate time series methods and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 5(3), pages 379-388, May.
    15. Amemiya, Takeshi, 1973. "Generalized Least Squares with an Estimated Autocovariance Matrix," Econometrica, Econometric Society, vol. 41(4), pages 723-732, July.
    16. Gregory C. Chow & Ray C. Fair, 1973. "Maximum Likelihood Estimation of Linear Equation Systems with Auto-Regressive Residuals," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 1, pages 17-28, National Bureau of Economic Research, Inc.
    17. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-788, July.
    18. Nicholls, D F & Pagan, Adrian R & Terrell, R D, 1975. "The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(1), pages 113-134, February.
    19. Hannan, E J & Terrell, R D, 1973. "Multiple Equation Systems with Stationary Errors," Econometrica, Econometric Society, vol. 41(2), pages 299-320, March.
    20. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    2. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
    3. Arntzen, J.W., 1979. "Duality, segmentation and dynamics on a regional labour market," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hakkio, Craig S, 1981. "Expectations and the Forward Exchange Rate," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 663-678, October.
    2. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
    3. Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    4. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
    5. Rahiala, Markku, . "On the Identification and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors," ETLA A, The Research Institute of the Finnish Economy, number 8, June.
    6. Cubadda, Gianluca & Triacca, Umberto, 2011. "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
    7. E. Philip Howrey, 1980. "The Role of Time Series Analysis in Econometric Model Evaluation," NBER Chapters, in: Evaluation of Econometric Models, pages 275-307, National Bureau of Economic Research, Inc.
    8. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
    9. Hsiao, Cheng & Robinson, P M, 1978. "Efficient Estimation of a Dynamic Error-Shock Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 467-479, June.
    10. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    11. Zellner, Arnold & Israilevich, Guillermo, 2005. "The Marshallian macroeconomic model: A progress report," International Journal of Forecasting, Elsevier, vol. 21(4), pages 627-645.
    12. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    13. Palm, Franz C & Vogelvang, Engbert & Kodde, David A, 1984. "Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 579-601, October.
    14. Fathali Firoozi & Donald Lien, 2011. "A Procedure for Testing Granger Causality of Infinite Order," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 165-170, August.
    15. Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
    16. Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
    17. Valeria D’Amato & Steven Haberman & Gabriella Piscopo & Maria Russolillo, 2014. "Computational framework for longevity risk management," Computational Management Science, Springer, vol. 11(1), pages 111-137, January.
    18. Perry Warjiyo & Wallace E. Huffman, 1997. "Dynamic input demand functions and resource adjustment for US agriculture: state evidence," Agricultural Economics, International Association of Agricultural Economists, vol. 17(2-3), pages 223-237, December.
    19. M. Deistler & B. Pötscher & J. Schrader, 1984. "The uniqueness of the transfer function of linear systems from input-output observations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 157-181, December.
    20. Bobst, Barry W. & Davis, Joe T., 1982. "Regional Beef Cattle Inventory Functions With Aggregation Constraints," 1982 Annual Meeting, August 1-4, Logan, Utah 279469, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:12:y:1980:i:3:p:251-283. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.