SEEMINGLY UNRELATED TIME-SERIES EQUATIONS AND A TEST FOR HOMOGENEITY

被引:13
作者
FERNANDEZ, FJ [1 ]
HARVEY, AC [1 ]
机构
[1] UNIV LONDON LONDON SCH ECON & POLIT SCI,DEPT STAT & MATH SCI,LONDON WC2A 2AE,ENGLAND
关键词
D O I
10.2307/1391754
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:71 / 81
页数:11
相关论文
共 25 条
[1]   DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN MULTIPLE AUTOREGRESSIVE SCHEMES [J].
CHITTURI, RV .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1974, 69 (348) :928-934
[3]   EXOGENEITY [J].
ENGLE, RF ;
HENDRY, DF ;
RICHARD, JF .
ECONOMETRICA, 1983, 51 (02) :277-304
[4]  
ENGLE RF, 1978, SEASONAL ANAL EC TIM, P281
[5]   FORECASTING APPLICATIONS OF AN ADAPTIVE MULTIPLE EXPONENTIAL SMOOTHING MODEL [J].
ENNS, PG ;
MACHAK, JA ;
SPIVEY, WA ;
WROBLESKI, WJ .
MANAGEMENT SCIENCE, 1982, 28 (09) :1035-1044
[6]  
FERNANDEZ FJ, 1986, THESIS U LONDON
[7]  
FERNANDEZ FJ, 1989, IN PRESS J TIME SERI
[8]  
Gersch W, 1983, J BUS ECON STAT, V1, P253
[9]   INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS [J].
GRANGER, CWJ .
ECONOMETRICA, 1969, 37 (03) :424-438
[10]  
Harvey A, 1983, J BUS ECON STAT, V1, P299, DOI DOI 10.1080/07350015.1983.10509355