Estimation of a general linear model with an unobservable stochastic variable

Keshab Shrestha

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1 Citation (Scopus)


This paper derives a maximum-likelihood estimation procedure for a class of general linear models in which there is an unobservable stochastic variable. The stochastic variable is assumed to follow an AR(1) process. Moreover, estimation of the trajectory of the unobservable stochastic variable is also considered.

Original languageEnglish
Pages (from-to)259-264
Number of pages6
JournalEconomics Letters
Issue number3
Publication statusPublished - 1988
Externally publishedYes

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