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A REVIEW OF ASYMPTOTIC DISTRIBUTION
METHODS OF APPROXIMATING DISTRIBUTION
TOPICS IN TIME SERIES ANALYSIS
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2SLS 2SLS estimator ACF and PACF American Statistical Association applications approximation ARIMA models assume asymptotic expansion autoregressive Bayes bias Bock Chapter characteristic function coefficients complex number converges in probability covariance matrix defined Definition denoted density function derived discussed distribution function Econometrica exact distribution example exogenous fc-class estimators finite forecast hypergeometric identified implies included endogenous variables independent integral it-Class James-Stein estimator lag operator least squares estimator Lemma likelihood function linear loss function maximum likelihood estimator mean squared error methods minimax minimizes moving average multivariate noncentral nonzero normal distribution OLS estimator parameter PARTIAL AUTOCORRELATION PARTIAL AUTOCORRELATION FUNCTION past values plim preliminary test estimator prewhitened problem Proof quadratic loss function random variables reduced form restrictions result ridge regression risk function Sawa scalar sequence serial correlation series models simultaneous equation stationary tests for causality theory transformation variance vector Wishart distribution yields zero