The implications of including autoregressive disturbances in linear logit models of demand systems are explored. It is argued that the normality assumption of the ...
Model Selection Under Nonstationarity: Autoregressive Models and Stochastic Linear Regression Models
We give sufficient conditions for strong consistency of estimators for the order of general nonstationary autoregressive models based on the minimization of an ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Ordinary regression analysis is based on several statistical assumptions. One key assumption is that the errors are independent of each other. However, with time series data, the ordinary regression ...
Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician (CMT). Gordon Scott has been an active investor and technical analyst or 20+ years. He ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
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