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Linear Models with Correlated Disturbances
Paul Knottnerus
€ 118.65
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Description for Linear Models with Correlated Disturbances
Paperback. Looks at the estimation of regression models with correlated disturbances. Topics discussed include maximum likelihood, test strategies, Kalman filtering, conditional normal distributions, the Cramer-Rao inequality, and Cholesky decomposition. A simple geometrical approach is used. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 204 pages, 1 black & white illustrations, biography. BIC Classification: KCHS; KJMV5. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 244 x 170 x 11. Weight in Grams: 374.
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. ... Read more
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. ... Read more
Product Details
Format
Paperback
Publication date
1991
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
204
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
196
Place of Publication
Berlin, Germany
ISBN
9783540539018
SKU
V9783540539018
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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