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Review of the general linear model
Maximum likelihood estimation
Time series modelling
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2SLS agents algorithm applied assumed asymptotically autocorrelation autoregressive calculate Chapter coefficient cointegrating vectors conditional consider consistent estimates constant correlogram covariance matrix cross-equation Cuthbertson and Taylor defined demand for money density function derive deterministic discussed econometric economic endogenous variables error terms example exchange rate exogenous expected value forecast error given Hence information set instruments interest rate intuitive Johansen Kalman filter lag operator least squares likelihood function linear long-run maximised mean method minimise money demand moving average non-linear model null hypothesis observations ols estimator one-step-ahead optimal parameter estimates parameter vector partial autocorrelation period plim prediction error problem procedure properties random rational expectations recursive regression regressors residuals restrictions sampling distribution serial correlation series modelling simple simulation standard error state-space form stationary stochastic process stochastic trend structural sum of squares techniques tion transition equation two-step unbiased uncorrelated unobservable unrestricted variance variance-covariance matrix Wald test white noise yield zero