Download or read book Efficient inference in random coefficient models with multicollinearity in the time series regressions written by Robert K. Rayner, Roger L. Wright and published by . This book was released on 1980 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Inference in Random Coefficient Regression Models written by P.A.V.B. Swamy and published by Springer. This book was released on 1971-01-01 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This short monograph which presents a unified treatment of the theory of estimating an economic relationship from a time series of cross-sections, is based on my Ph. D. dissertation submitted to the University of Wisconsin, Madison. To the material developed for that purpose, I have added the substance of two subsequent papers: "Efficient methods of estimating a regression equation with equi-correlated disturbances", and "The exact finite sample properties of estimators of coefficients in error components regression models" (with Arora) which form the basis for Chapters 11 and III respectively. One way of increasing the amount of statistical information is to assemble the cross-sections of successive years. To analyze such a body of data the traditional linear regression model is not appropriate and we have to introduce some additional complications and assumptions due to the hetero geneity of behavior among individuals. These complications have been discussed in this monograph. Limitations of economic data, particularly their non-experimental nature, do not permit us to know a priori the correct specification of a model. I have considered several different sets of assumptionR about the stability of coeffi cients and error variances across individuals and developed appropriate inference procedures. I have considered only those sets of assumptions which lead to opera tional procedures. Following the suggestions of Kuh, Klein and Zellner, I have adopted the linear regression models with some or all of their coefficients varying randomly across individuals.
Download or read book Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models written by Liudas Giraitis and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we introduce the general setting of a multivariate time series autoregressive model with stochastic time-varying coefficients and time-varying conditional variance of the error process. This allows modelling VAR dynamics for non-stationary time series and estimation of time-varying parameter processes by the well-known rolling regression estimation techniques. We establish consistency, convergence rates, and asymptotic normality for kernel estimators of the paths of coefficient processes and provide pointwise valid standard errors. The method is applied to a popular seven-variable dataset to analyse evidence of time variation in empirical objects of interest for the DSGE (dynamic stochastic general equilibrium) literature.
Download or read book Predictions in Time Series Using Regression Models written by Cory Terrell and published by Scientific e-Resources. This book was released on 2019-09-02 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression methods have been a necessary piece of time arrangement investigation for over a century. As of late, new advancements have made real walks in such territories as non-constant information where a direct model isn't fitting. This book acquaints the peruser with fresher improvements and more assorted regression models and methods for time arrangement examination. Open to any individual who knows about the fundamental present day ideas of factual deduction, Regression Models for Time Series Analysis gives a truly necessary examination of late measurable advancements. Essential among them is the imperative class of models known as summed up straight models (GLM) which gives, under a few conditions, a bound together regression hypothesis reasonable for constant, all out, and check information. The creators stretch out GLM methodology deliberately to time arrangement where the essential and covariate information are both arbitrary and stochastically reliant. They acquaint readers with different regression models created amid the most recent thirty years or somewhere in the vicinity and condense traditional and later outcomes concerning state space models.
Download or read book Proceedings of the Business and Economic Statistics Section written by American Statistical Association. Business and Economic Statistics Section and published by . This book was released on 1980 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inference for Some Time Series Models with Random Coefficients and Infinite Variance Innovations written by A. Thavaneswaran and published by . This book was released on 2000 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Analysis and Forecasting of Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1984, the University of Bonn (FRG) and the International Institute for Applied System Analysis (IIASA) in Laxenburg (Austria), created a joint research group to analyze the relationship between economic growth and structural change. The research team was to examine the commodity composition as well as the size and direction of commodity and credit flows among countries and regions. Krelle (1988) reports on the results of this "Bonn-IIASA" research project. At the same time, an informal IIASA Working Group was initiated to deal with prob lems of the statistical analysis of economic data in the context of structural change: What tools do we have to identify nonconstancy of model parameters? What type of models are particularly applicable to nonconstant structure? How is forecasting affected by the presence of nonconstant structure? What problems should be anticipated in applying these tools and models? Some 50 experts, mainly statisticians or econometricians from about 15 countries, came together in Lodz, Poland (May 1985); Berlin, GDR (June 1986); and Sulejov, Poland (September 1986) to present and discuss their findings. This volume contains a selected set of those conference contributions as well as several specially invited chapters.
Download or read book Statistical Inference In Time Series Regression Models written by S. Durga Prasad and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book attempts to develope some new inferential procedures for time series regression models.An inferential method for a time series linear regression model with auto correlated disturbances using quarterly data, has been developed by proposing a test based on internally studentized residuals.Two modified estimation procedures have been proposed for time series regression models involving MA (1) and MA (q) process errors.Autoregressive moving averages and autoregressive conditionally heteroscadastic (ARCH) processesses have been specified systematically with their characteristics. The generalized ARCH model is specified and the effect of error structure on ARCH model has been explained. Two modified tests for detecting the problem of ARCH errors have been developed by using Box-pierce-lying test statistics based on internally studentized residuals. A new estimation procedure has been developed for ARCH model by using an interactive technique
Download or read book AUBER Bibliography written by Association for University Business and Economic Research and published by . This book was released on 1980 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Auber Bibliography 1980 Publications written by Kloc& and published by . This book was released on 1981-11 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Integrating Forest Growth and Dendrochronological Methodologies written by Marian Eriksson and published by . This book was released on 1989 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Random Coefficient Models written by Nicholas T. Longford and published by . This book was released on 1995 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometrics written by Sukesh K. Ghosh and published by Englewood Cliffs, N.J. : Prentice Hall. This book was released on 1991 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deals with problems of estimating and testing socio-economic relations arising in single and simultaneous equations. It discusses recent techniques and models in the discipline and provides a survey of real-world econometric studies.
Download or read book Applied Linear Statistical Models written by Michael H. Kutner and published by McGraw-Hill/Irwin. This book was released on 2005 with total page 1396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression with one predictor variable; Inferences in regression and correlation analysis; Diagnosticis and remedial measures; Simultaneous inferences and other topics in regression analysis; Matrix approach to simple linear regression analysis; Multiple linear regression; Nonlinear regression; Design and analysis of single-factor studies; Multi-factor studies; Specialized study designs.
Download or read book THE PREDICTION OF SYSTEMATIC RISK USING EQUICALENT RISK CLASSES WORKING PAPER NO 252 written by ROBERT E. RAYNER and published by . This book was released on 1981 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 1980 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometrics written by Bruce Hansen and published by Princeton University Press. This book was released on 2022-06-28 with total page 1081 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most authoritative and up-to-date core econometrics textbook available Econometrics is the quantitative language of economic theory, analysis, and empirical work, and it has become a cornerstone of graduate economics programs. Econometrics provides graduate and PhD students with an essential introduction to this foundational subject in economics and serves as an invaluable reference for researchers and practitioners. This comprehensive textbook teaches fundamental concepts, emphasizes modern, real-world applications, and gives students an intuitive understanding of econometrics. Covers the full breadth of econometric theory and methods with mathematical rigor while emphasizing intuitive explanations that are accessible to students of all backgrounds Draws on integrated, research-level datasets, provided on an accompanying website Discusses linear econometrics, time series, panel data, nonparametric methods, nonlinear econometric models, and modern machine learning Features hundreds of exercises that enable students to learn by doing Includes in-depth appendices on matrix algebra and useful inequalities and a wealth of real-world examples Can serve as a core textbook for a first-year PhD course in econometrics and as a follow-up to Bruce E. Hansen’s Probability and Statistics for Economists
