عنوان

Linear Models with Correlated Disturbances

شابک

3642483836

شابک

9783642483837

شماره

b568898

عنوان اصلي

Linear Models with Correlated Disturbances

نام عام مواد

[Book]

نام نخستين پديدآور

by Paul Knottnerus.

محل نشرو پخش و غیره

Berlin, Heidelberg

نام ناشر، پخش کننده و غيره

Springer Berlin Heidelberg

تاریخ نشرو بخش و غیره

1991

نام خاص و کميت اثر

(viii, 196 pages)

عنوان فروست

Lecture notes in economics and mathematical systems, 358.

متن يادداشت

I Introduction --; II Transformation Matrices and Maximum Likelihood Estimation of Regression Models with Correlated Disturbances --; 2.1 Introduction --; 2.2 The algebraic problem --; 2.3 A dual problem --; 2.4 Recursive methods for calculating the transformation matrix P --; 2.5 The matrix P in the case of MA(1) disturbances --; 2.6 The matrix P in the case of MA(q) disturbances --; 2.7 The matrix P in the case of ARMA(p, q) disturbances --; Appendix 2. A Linear vector spaces --; Appendix 2.B The formula for ßtj if t is small --; III Computational Aspects of data Transformations and Ansley's Algorithm --; 3.1 Introduction --; 3.2 Recursive computations for models with MA(q) disturbances --; 3.3 Recursive computations for models with ARMA(p, q) disturbances --; 3.4 Ansley's method --; IV GLS Estimation by Kalman Filtering --; 4.1 Introduction --; 4.2 Some results from multivariate analysis --; 4.3 The Kaiman filter equations --; 4.4 The likelihood function --; 4.5 Estimation of linear models with ARMA(p, q) disturbances by means of Kaiman filtering --; 4.6 The exact likelihood function for models with ARMA(p, q) disturbances --; 4.7 Predictions and prediction intervals by using Kaiman filtering --; V Estimation of Regression Models with Missing Observations and Serially Correlated Disturbances --; 5.1 Introduction --; 5.2 The model --; 5.3 Derivation of the transformation matrix --; 5.4 Estimation and test procedures --; 5.5 Kaiman filtering with missing observations --; Appendix 5.A Stationarity conditions for an AR(2) process --; VI Distributed lag Models and Correlated Disturbances --; 6.1 Introduction --; 6.2 The geometric distributed lag model --; 6.3 Estimation methods --; 6.4 A simple formula for Koyck's consistent two-step estimator --; 6.5 Efficient estimation of dynamic models --; 6.6 Dynamic models with several geometric distributed lags --; 6.7 The Cramér-Rao inequality and the Pythagorean theorem --; VII Test Strategies for Discriminating Between Autocorrelation and Misspecification --; 7.1 Introduction --; 7.2 Thursby's test strategy --; 7.3 Comments on Thursby's test strategy --; 7.4 Godfrey's test strategy --; 7.5 Comments on Godfrey's test strategy --; References --; Author Index.

متن يادداشت

The main aim of this volume is to give a survey of new and old estimation techniques for regression models with correlated disturbances, especially with autoregressive-moving average disturbances. In nearly all chapters the usefulness of the simple geometric interpretation of the classical ordinary Least Squares method is demonstrated. It emerges that both well-known and new results can be derived in a simple geometric manner, e.g., the conditional normal distribution, the Kalman filter equations and the Cramér-Rao inequality. The same geometric interpretation also shows that disturbances which follow an arbitrary correlation process can easily be transformed into a white noise sequence. This is of special interest for Maximum Likelihood estimation. Attention is paid to the appropriate estimation method for the specific situation that observations are missing. Maximum Likelihood estimation of dynamic models is also considered. The final chapter is concerned with several test strategies for detecting the genuine correlation structure among the disturbances. The geometric approach throughout the book provides a coherent insight in apparently different subjects in the econometric field of time series analysis.

موضوع مستند نشده

Economics.

موضوع مستند نشده

Engineering mathematics.

موضوع مستند نشده

Statistics.

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

by Paul Knottnerus.

مستند نام اشخاص تاييد نشده

Paul Knottnerus

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y