Fully modified least squares estimation and vector autoregression of models with seasonally integrated processes.

Description

by Gilbert Chiu-sing Lui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 112-117). / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Models and Assumptions --- p.4 / Chapter 3. --- Asymptotics of FM-SEA Estimators --- p.15 / Chapter 3.1. --- Model without Determinstic Trends --- p.15 / Chapter 3.2. --- Model with Determinstic Trends --- p.27 / Chapter 4. --- Asymptotics of FM-SEA Estimators of VAR System --- p.33 / Chapter 4.1. --- General Model --- p.33 / Chapter 4.2. --- Model with d = 4 --- p.44 / Chapter 5. --- Monte Carlo Experimental Results --- p.49 / Chapter 6. --- Conclusion --- p.54 / Chapter 7. --- Mathematical Appendix --- p.56 / Chapter 8. --- References --- p.112

Links & Downloads

1. cuhk:321901
2. http://library.cuhk.edu.hk/record=b5889213
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-321901

Tags

Least squares

Estimation theory--Econometric models

Autoregression (Statistics)

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_321901
Date	January 1997
Contributors	Lui, Gilbert Chiu-sing., Chinese University of Hong Kong Graduate School. Division of Economics.
Source Sets	The Chinese University of Hong Kong
Language	English
Detected Language	English
Type	Text, bibliography
Format	print, 117 leaves : ill. ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)