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Asymptotic inference in regression models with autoregressive errors having roots on the unit circle
Authors:Juha Ahtola  
Institution:1. University of Helsinki, 00170 Helsinki 17, Finland;2. The Research Institute of the Finnish Economy, 00120 Helsinki 12, Finland;1. Institute for Molecular Bioscience, The University of Queensland, Brisbane, QLD, Australia;2. Division of Psychiatry, University of Edinburgh, Edinburgh, UK;3. Centre for Cognitive Ageing and Cognitive Epidemiology, University of Edinburgh, Edinburgh, UK;4. Queensland Brain Institute, The University of Queensland, Brisbane, QLD, Australia;1. Department of Chemical Engineering, University of Petroleum and Energy Studies, Dehradun, India;2. Department of Chemical Engineering, Institute of Technology, Nirma University, Ahmedabad, India;1. Australian Centre for Precision Health, University of South Australia, Adelaide, SA 5000, Australia;2. UniSA Allied Health and Human Performance, University of South Australia, Adelaide, SA 5000, Australia;3. Department of Genetics and Animal Breeding, Faculty of Veterinary Medicine, Chattogram Veterinary and Animal Sciences University (CVASU), Khulshi, Chattogram 4225, Bangladesh;4. South Australian Health and Medical Research Institute (SAHMRI), University of South Australia, Adelaide, SA 5000, Australia;5. Division of Animal Breeding and Genetics, National Institute of Animal Science (NIAS), Cheonan, South Korea;6. Institute for Molecular Bioscience, University of Queensland, Brisbane, QLD, Australia;7. Queensland Brain Institute, University of Queensland, Brisbane, QLD, Australia;1. ASRC Federal Data Solutions, Contractor to the U.S. Geological Survey (USGS), Earth Resources Observation and Science (EROS) Center, Work Performed under USGS Contract 140G0119C0001, 47914 252nd Street, Sioux Falls, SD 57198, USA;2. Department of Natural Resources and the Environment, University of Connecticut, Storrs, CT 06269, USA;3. U.S. Geological Survey (USGS), Earth Resources Observation and Science (EROS) Center, 47914 252nd Street, Sioux Falls, SD 57198, USA;1. School of Economics and Management, Nanjing University of Science and Technology, China;2. Antai College of Economics and Management, Shanghai Jiao Tong University, China
Abstract:An inference procedure is proposed for regression models with stationary regressors and non-stationary autoregressive errors. It is shown that the usual GLS or Cochrane–Orcutt procedure should be done in reverse order by starting the estimation from the error structure.
Keywords:
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