GENERALIZED LEAST-SQUARES WITH AN ESTIMATED AUTOCOVARIANCE MATRIX

被引：57

作者：

AMEMIYA, T ^{[1
]}

机构：

[1] STANFORD UNIV,STANFORD,CA

来源：

关键词：

D O I：

10.2307/1914092

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：723 / 732

页数：10

共 8 条

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[2] ANDERSON TW, 1971, STATISTICAL ANALYSIS
[3] EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
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[J]. BIOMETRIKA, 1959, 46 (3-4) : 306 - 316
[4] Grenander U., 1958, CALIFORNIA MONOGRAPH
[5] HANNAN EJ, 1963, TIME SERIES ANALYSIS
[6] PAGANO M, 1971, 53 STAT U NEW YORK D
[7] Whittle Peter, 1963, PREDICTION REGULATIO
[8] CONSISTENCY AND EFFICIENCY OF GENERALIZED LEAST SQUARES IN SIMULTANEOUS EQUATION SYSTEMS WITH AUTOCORRELATED ERRORS
WICKENS, MR
[J]. ECONOMETRICA, 1969, 37 (04) : 651 - &