Estimation of Dynamic Econometric Models with Errors in Variables (Lecture Notes in Economics and Mathematical Systems .339) (1990. viii, 121 S. 1 SW-Abb., 4 Tabellen. 244 mm)

A new procedure for the maximum-likelihood estimation of dynamic econometric models with errors in both endogenous and exogenous variables is presented in this monograph. A complete analytical development of the expressions used in problems of estimation and verification of models in state-space form is presented. The results are useful in relation not only to the problem of errors in variables but also to any other possible econometric application of state-space formulations.