Linear Models With Correlated Disturbances (Lecture Notes in Economics & Mathematical Systems) - Softcover

Paul Knottnerus

Softcover

ISBN 10: 0387539018 ISBN 13: 9780387539010

Publisher: Springer Verlag, 1991

Synopsis

The main aim of this volume is to give a survey of new and old estimation techniques for regression models with correlated disturbances, especially with autoregressive-moving average disturbances. In nearly all chapters the usefulness of the simple geometric interpretation of the classical ordinary Least Squares method is demonstrated. It emerges that both well-known and new results can be derived in a simple geometric manner, e.g., the conditional normal distribution, the Kalman filter equations and the CramA(c)r-Rao inequality. The same geometric interpretation also shows that disturbances which follow an arbitrary correlation process can easily be transformed into a white noise sequence. This is of special interest for Maximum Likelihood estimation. Attention is paid to the appropriate estimation method for the specific situation that observations are missing. Maximum Likelihood estimation of dynamic models is also considered. The final chapter is concerned with several test strategies for detecting the genuine correlation structure among the disturbances. The geometric approach throughout the book provides a coherent insight in apparently different subjects in the econometric field of time series analysis.

Edition details

• Publisher: Springer Verlag
• Publication date: 1991
• Language: English
• ISBN 10: 0387539018
• ISBN 13: 9780387539010
• Binding: Paperback
• Number of pages: 196