One of the earliest problems considered and analysed by econometricians was that posed by the presence of autocorrelation in regression models In the now classic article by Cochrane and Orcutt a definitive treatment of the ...
THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the ...
The article presents information on exact maximum likelihood estimation of regression models with finite order moving average errors. A number of procedures for the estimation of models with moving average error specifications ...
IN A RECENT ARTICLE Robert Engle [2] explored the extent of the sin practicing econometricians commit when approximating the true autocorrelation function of the disturbances in a regression by some finite parameter scheme, ...
This article demonstrates that, for a finite distributed lag, the polynomial distributed lag (PDL) approximation suggested by Almon is a special case of the rational lag method formalized by Jorgenson. The proof relies ...
Abstract: It is shown that in the complete dynamic simultaneous equation model exogenous variables cause endogenous variables in the sense of Granger (1969) and satisfy the criterion of econometric exogeneity discussed by ...
Abstract: The regression relation between regularly sampled Y(t) and X"1(t),..., X"N(t) implied by an underlying model in which time enters more generally is studied. The underlying model includes continuous distributed ...
Few models of the Japanese wool textile industry have been constructed, despite the importance of the Japanese as the largest purchasers of Australian wool on a single-country basis. This paper constructs a twenty-five ...
Breusch, T. S.; Pagan, Adrian(Wiley-Blackwell, 1979)
A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedastic and random coefficient specifications, the ...
This note demonstrates that LIML can be formulated as Zellner's SUR estimator. The result provides an analytic formula for LIML and its derived reduced form estimator, expresses LIML as the sum of 2SLS and a correction ...
Breusch, T. S.; Pagan, Adrian(Wiley-Blackwell, 1980)
This paper has two aims. The first is to exposit the various forms of the LM statistic and to collect together some of the relevant research reported in the mathematical statistics literature. The second is to illustrate ...
Although various theoretical and applied papers have appeared in recent years concerned with the estimation and use of regression models with stochastically varying coefficients, little is available in the literature on ...
A characteristic of much research in monetary economics in the last few years has been a preoccupation with the stability of the demand for money function, as failure of stability undermines some of the central features ...
Abstract: In this paper the concept of approximate slope, introduced by R. R. Bahadur, is used to make asymptotic global power comparisons of econometric tests. The approximate slope of a test is the rate at which the ...
Examines problems associated with the estimation of the normal linear regression model of finite but unknown sequence of nested alternatives. Estimation criteria for the model selection; Derivation of the numerical bounds ...
Explains the theory of identification, estimation and inference in the dynamic confirmatory factor model for the economic time series. Derivation of the frequency domain representation of the model; Illustration of the ...
Abstract: The theory of estimation and inference in a very general class of latent variable models for time series is developed by showing that the distribution theory for the finite Fourier transform of the observable ...