Efficient Estimation Of A Dynamic Error Shock Model

Download or read book Efficient Estimation of a Dynamic Error-Shock Model written by P. M. Robinson and published by . This book was released on 1976 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary disturbances under the assumption that the variables are subject to random measurement errors. The conditions under which the parameters are identified are stated. An asymptotically efficient frequency-domain class of instrumental variables estimators is suggested. The procedure consists of two basic steps. The first step transforms the model in such a way that the observed exogenous variables are asymptotically orthogonal to the residual terms. The second step involves an iterative procedure like that of Robinson [13]