Estimation of a general linear model with an unobservable stochastic variable

Keshab Shrestha

doi:10.1016/0165-1765(88)90145-0

Estimation of a general linear model with an unobservable stochastic variable

Keshab Shrestha

Research output: Contribution to journal › Article › Research › peer-review

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Abstract

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 language	English
Pages (from-to)	259-264
Number of pages	6
Journal	Economics Letters
Volume	26
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(88)90145-0
Publication status	Published - 1988
Externally published	Yes

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title = "Estimation of a general linear model with an unobservable stochastic variable",

abstract = "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.",

author = "Keshab Shrestha",

year = "1988",

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AB - 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.

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DO - 10.1016/0165-1765(88)90145-0

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VL - 26

SP - 259

EP - 264

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

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ER -

Estimation of a general linear model with an unobservable stochastic variable

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