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In Output 10.1.2 and Output 10.1.3, you can see the relationship between the instantaneous response model and the VAR model. The VAR coefficients are computed as Ai = LAi*(i = 0,1,2,3), where Ai* is a ...
Example 8.13: Parameter Estimation for a Regression Model with ARMA Errors Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations ...
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