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Mehra, R.K. (1975). Identification and Estimation of the Error-in-Variables Model (EVM) in Structural Form. IIASA Research Memorandum. IIASA, Laxenburg, Austria: RM-75-038
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Abstract
It is shown that the EVM in structural form is identifiable if serial correlation is present in the independent variables. Least Squares, Instrumental Variable and Maximum Likelihood techniques for the identification and estimation of serial correlations and other EVM parameters are given. The techniques used are based on State Vector Models, Kalman Filtering and Innovation representations. Generalizations to EVM involving multiple regressions and randomly time-varying coefficients are also discussed.
| Item Type: | Monograph (IIASA Research Memorandum) |
|---|---|
| Research Programs: | System and Decision Sciences - Core (SDS) |
| Depositing User: | IIASA Import |
| Date Deposited: | 15 Jan 2016 01:42 |
| Last Modified: | 27 Aug 2021 17:08 |
| URI: | https://pure.iiasa.ac.at/478 |
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