Recursive estimation of simultaneous equation models
β Scribed by Jean-Paul Chavas
- Publisher
- Elsevier Science
- Year
- 1982
- Tongue
- English
- Weight
- 588 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In this paper we review existing work on robust estimation for simultaneous equations models. Then we sketch three strategies for obtaining estimators with a high breakdown point and a controllable efficiency: (a) robustifying three-stage least squares, (b) robustifying the full information maximum
## Abstract This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the timeβvarying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the aut