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 |
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Pages (from-to) | 259-264 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 26 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1988 |
Externally published | Yes |