Book contents
- Frontmatter
- Contents
- List of Illustrations
- Computer Code Used in the Examples
- Preface
- PART ONE Maximum Likelihood
- PART TWO Regression Models
- 5 Linear Regression Models
- 6 Nonlinear Regression Models
- 7 Autocorrelated Regression Models
- 8 Heteroskedastic Regression Models
- PART THREE Other Estimation Methods
- PART FOUR Stationary Time Series
- PART FIVE Nonstationary Time Series
- PART SIX Nonlinear Time Series
- Appendix A Change of Variable in Density Functions
- Appendix B The Lag Operator
- Appendix C FIML Estimation of a Structural Model
- Appendix D Additional Nonparametric Results
- References
- Author Index
- Subject Index
7 - Autocorrelated Regression Models
from PART TWO - Regression Models
Published online by Cambridge University Press: 05 January 2013
Book contents
- Frontmatter
- Contents
- List of Illustrations
- Computer Code Used in the Examples
- Preface
- PART ONE Maximum Likelihood
- PART TWO Regression Models
- 5 Linear Regression Models
- 6 Nonlinear Regression Models
- 7 Autocorrelated Regression Models
- 8 Heteroskedastic Regression Models
- PART THREE Other Estimation Methods
- PART FOUR Stationary Time Series
- PART FIVE Nonstationary Time Series
- PART SIX Nonlinear Time Series
- Appendix A Change of Variable in Density Functions
- Appendix B The Lag Operator
- Appendix C FIML Estimation of a Structural Model
- Appendix D Additional Nonparametric Results
- References
- Author Index
- Subject Index
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- Econometric Modelling with Time SeriesSpecification, Estimation and Testing, pp. 228 - 271Publisher: Cambridge University PressPrint publication year: 2012