ALTERNATIVE ALGORITHMS FOR THE ESTIMATION OF DYNAMIC FACTOR, MIMIC AND VARYING COEFFICIENT REGRESSION-MODELS

被引：234

作者：

WATSON, MW ^{[1
]}

ENGLE, RF ^{[1
]}

机构：

[1] UNIV CALIF SAN DIEGO,LA JOLLA,CA 92093

来源：

JOURNAL OF ECONOMETRICS | 1983年 / 23卷 / 03期

关键词：

D O I：

10.1016/0304-4076(83)90066-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：385 / 400

页数：16

共 23 条

[1]

Anderson B., 1979, OPTIMAL FILTERING

[2]

Box G.E.P., 1976, TIME SERIES ANAL

[3]

BROWN RL, 1975, J ROY STAT SOC B MET, V37, P149

[4] THE EM APPROACH TO THE MULTIPLE INDICATORS AND MULTIPLE CAUSES MODEL VIA THE ESTIMATION OF THE LATENT VARIABLE [J].

CHEN, CF .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1981, 76 (375) :704-708

[5]

CHOW GC, 1982, HDB ECONOMETRICS

[6] TESTS OF AN ADAPTIVE REGRESSION MODEL [J].

COOLEY, TF ;

PRESCOTT, EC .

REVIEW OF ECONOMICS AND STATISTICS, 1973, 55 (02) :248-256

[7] MAXIMUM LIKELIHOOD FROM INCOMPLETE DATA VIA EM ALGORITHM [J].

DEMPSTER, AP ;

LAIRD, NM ;

RUBIN, DB .

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, 1977, 39 (01) :1-38

[8] A ONE-FACTOR MULTIVARIATE TIME-SERIES MODEL OF METROPOLITAN WAGE RATES [J].

ENGLE, R ;

WATSON, M .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1981, 76 (376) :774-781

[9]

Geweke J., 1977, DYNAMIC FACTOR ANAL

[10] STRUCTURAL EQUATION METHODS IN SOCIAL-SCIENCES [J].

GOLDBERGER, AS .

ECONOMETRICA, 1972, 40 (06) :979-1001

← 1 2 3 →