Distributed lags : problems of estimation and formulation
著者
書誌事項
Distributed lags : problems of estimation and formulation
（Advanced textbooks in economics, v. 14）
North-Holland Pub , Sole distributors for the U.S.A. and Canada, Elsevier North-Holland, 1981
2nd rev. ed
大学図書館所蔵 件 / 全67件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Bibliography: p. 458-466
Includes index
内容説明・目次
内容説明
This volume presents an analysis of the estimation of distributed lag models. It covers the algebraic structure of lag operators and examines the estimation of problems connected with finite and infinite lag structures, under a variety of assumptions pertaining to the error process. This revised edition emphasizes the potential applications of distributed lags, discussing the polynomial lag hypothesis and its relation to restricted least squares. Also, the test for autocorrelation of the error structure, when the model specification contains a lagged endogenous variable, is examined. The material is suitable for second-year graduate students in economics, and for undergraduates in statistics, mathematics, operations research, econometrics and electrical engineering, providing they have a background in calculus, linear algebra and mathematical statistics.
目次
- Formulation of the Lag Distribution Problem. The Algebra of Lag Operators. Finite and Infinite Lag Structures: Approximation. Geometric Lag Structure. Finite Lag Structures. The General Rational Lag Structure. Spectral Analysis and Estimation of Distributed Lag Models. Discrimination among Alternative Lag Structures
- Miscellaneous Topics. Appendix: Some Monte-Carlo Experiments. Bibliography. Index.
「Nielsen BookData」 より