Advanced Econometrics Takeshi Amemiya
Time Series Analysis
1. We are using the approximation sign s* to mean that most elements of the matrices of both sides are equal.
2. The subscript p denotes the order of the autoregression. The size of the matrix should be inferred from the context.
3. Almon (1965) suggested an alternative method of computing f} based on^jgran - gian interpolation polynomials. Cooper (1972) stated that although the metlfigwlh, cussed in the text is easier to understand, Almon’s method is computationally»^? perior.
In the preceding section we assumed the model (8.1.1) without specifying the model for Y( or assuming the normality of u, and derived the asymptotic distribution of the class of …
Cosslett (1981b) summarized results obtained elsewhere, especially from his earlier papers (Cosslett, 1978, 1981a). He also included a numerical evaluation of the asymptotic bias and variance of various estimators. We …
Roberts, Maddala, and Enholm (1978) estimated two types of simultaneous equations Tobit models to explain how utility rates are determined. One of their models has a reduced form that is …
