Linear Models with Correlated Disturbances: 358 - Brossura

Knottnerus, Paul

Brossura

ISBN 10: 3540539018 ISBN 13: 9783540539018

Casa editrice: Springer, 1991

Riassunto

In each chapter of this volume some specific topics in the econometric analysis of time series data are studied. All topics have in common the statistical inference in linear models with correlated disturbances. The main aim of the study is to give a survey of new and old estimation techniques for regression models with disturbances that follow an autoregressive-moving average process. In the final chapter also several test strategies for discriminating between various types of autocorrelation are discussed. In nearly all chapters it is demonstrated how useful the simple geometric interpretation of the well-known ordinary least squares (OLS) method is. By applying these geometric concepts to linear spaces spanned by scalar stochastic variables, it emerges that well-known as well as new results can be derived in a simple geometric manner, sometimes without the limiting restrictions of the usual derivations, e. g. , the conditional normal distribution, the Kalman filter equations and the Cramer-Rao inequality. The outline of the book is as follows. In Chapter 2 attention is paid to a generalization of the well-known first order autocorrelation transformation of a linear regression model with disturbances that follow a first order Markov scheme. Firstly, the appropriate lower triangular transformation matrix is derived for the case that the disturbances follow a moving average process of order q (MA(q». It turns out that the calculations can be carried out either analytically or in a recursive manner.

Su questo libro

Dalla quarta di copertina

This book is primarily concerned with the estimation of regression models with correlated disturbances. Topics discussed include maximum likelihood, test strategies, Kalman filtering, conditional normal distributions, the Cramér-Rao inequality, Cholesky decomposition, missing observations and numerical optimization. A simple geometrical approach is used.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 1991
• Lingua: Inglese
• ISBN 10: 3540539018
• ISBN 13: 9783540539018
• Rilegatura: Copertina flessibile
• Numero di pagine: 196
• Contatto del produttore: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Germania