User’s Guide : Multiple Equation Analysis : System Estimation : References
  
References
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Belsley, David (1980). “On the Efficient Computation of the Nonlinear Full-information Maximum-likelihood Estimator, Journal of Econometrics, 14, 203–225.
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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.
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Weis, C. Calzolari, G., and L. Panattoni (1987). “The Behavior of Trust-Region Methods in FIML-Estimation,” Computing, 38, 89–100.