User’s Guide : Multiple Equation Analysis : System Estimation : References
Amemiya, Takeshi (1977). “The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model,” Econometrica, 45, 955–966.
Andrews, Donald W. K. (1991). “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica, 59, 817–858.
Andrews, Donald W. K. and J. Christopher Monahan (1992). “An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,” Econometrica, 60, 953–966.
Belsley, David (1980). “On the Efficient Computation of the Nonlinear Full-information Maximum-likelihood Estimator, Journal of Econometrics, 14, 203–225.
Berndt, Ernst R. and David O. Wood (1975). “Technology, Prices and the Derived Demand for Energy,” Review of Economics and Statistics, 57(3), 259-268.
Bollerslev, Tim (1990). “Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model,” The Review of Economics and Statistics, 72, 498–505.
Bollerslev, Tim, Robert F. Engle and Jeffrey M. Wooldridge (1988). “A Capital-Asset Pricing Model with Time-varying Covariances,” Journal of Political Economy, 96, 116–131.
Calzolari, Giorgio and Lorenzo Panattoni (1987). “Computational Efficiency of FIML Estimation,” Journal of Econometrics, 36, 299–310.
Calzolari, Giorgio and Lorenzo Panattoni (1988). “Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study, Econometrica, 56, 701–714.
Dagenais, Marcel G. (1978). “The Computation of FIML Estimates as Iterative Generalized Least Squares Estimates in Linear and Nonlinear Simultaneous Equations Models,” Econometrica, 46, 1351–1362.
Ding, Zhuanxin and R. F. Engle (2001). “Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing,” Academia Economic Paper, 29, 157–184.
Engle, Robert F. and K. F. Kroner (1995). “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11, 122-150.
Greene, William H. (1997). Econometric Analysis, 3rd Edition, Upper Saddle River, NJ: Prentice-Hall.
Newey, Whitney and Kenneth West (1994). “Automatic Lag Selection in Covariance Matrix Estimation,” Review of Economic Studies, 61, 631–653.
Parke, William R. (1982). “An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models”, Econometrica, 50, 81–95.
Weis, C. Calzolari, G., and L. Panattoni (1987). “The Behavior of Trust-Region Methods in FIML-Estimation,” Computing, 38, 89–100.