The misspecification of dynamic regression models

DOI10.1016/0378-3758(94)00038-7MaRDI QIDQ1918127zbMATH OpenOpenAlexFDO

Authors Evangelia Pitta, D. Stephen G. Pollock

Publication date 6 November 1996

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL http://ageconsearch.umn.edu/record/293137

zbMATH Keywords

time seriesmisspecified modelsspectral analysisasymptotic properties of estimatorsestimating dynamic regression relationships

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3923929 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• Convergence analysis of parametric identification methods
• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• Maximum Likelihood Estimation of Misspecified Models
• Misspecified models with dependent observations
• Modeling and Analysis of Closed-Loop Systems from Operating Data
• The asymptotic theory of linear time-series models
• Time series analysis and simultaneous equation econometric models

Cited in

(6)

• Empirical best linear unbiased prediction in misspecified and improved panel data models with an application to gasoline demand
• scientific article; zbMATH DE number 1192393 (Why is no real title available?)
• Regression, model misspecification and causation, with pedagogical demonstration
• Dynamic Adjustment when the Target is Nonstationary
• scientific article; zbMATH DE number 3940576 (Why is no real title available?)
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships

Describes a project that uses

Uses Software

• Microfit

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