Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...
Hannan in "Regression for Time Series" [4] proposed an interesting method of estimating regression coefficients using spectral techniques, and later in "The Estimation of Relationship Involving ...
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
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