A simple method for the estimation of rational distributed lag models

DOI10.1080/03610928808829721zbMath0648.62095OpenAlexW2049020356MaRDI QIDQ3793580

Markku Rahiala

Publication date: 1988

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829721

zbMATH Keywords

time series analysisgeneralized least squares estimatorsmultiple input rational distributed lag modelsrational transfer function models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• An approach to testing linear time series models
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
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