Linear models with correlated disturbances
type: Item
instance of: scholarly article
title: Linear models with correlated disturbances
zbMATH Open document ID: 0757.62046
author: Paul Knottnerus
published in: Lecture Notes in Economics and Mathematical Systems
publication date: 1993-01-23T00:00:00Z
review text: This text provides a summary of new and old estimation techniques for regression models with disturbances that follow an autoregressive-moving average process. Test strategies for discriminating between various types of autocorrelation are also discussed. Alternative proofs and some extensions of well known theory are provided, partly by using the geometry of linear spaces spanned by scalar random variables. Apart from minor revisions this text is identical with the authors Ph. D. thesis.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62-02
Mathematics Subject Classification ID: 62J05
zbMATH DE Number: 108228
zbMATH Keywords: linear models
zbMATH Keywords: correlated disturbances
zbMATH Keywords: estimation techniques
zbMATH Keywords: autoregressive-moving average process
zbMATH Keywords: types of autocorrelation
zbMATH Keywords: geometry of linear spaces
reviewed by: Jostein Lillestøl
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 108228