Autoregressive transformations in cointegrated regressions

Article Abstract:

Customary autocorrelation corrections exercised on cointegrating regressions can result in inaccurate first-differencing. Such effects are found to be conceivable under a host of surroundings, which include conditions with autocorrelation coefficients considerably less than one. First-differencing of a cointegrating regression leads to appraisals that may possess minimal relation to the parameters in the initial unconverted relation.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Research, Regression analysis, Statistics (Mathematics)

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Multiple minima in the estimation of models with autoregressive disturbances

Article Abstract:

Multiple minima occurs when the Cochrane-Orcutt search procedure is used because of the nature of the observations on the dependent variable. To solve this problem, the first observation can be included under the transformation known as Prais-Winsten.

Analysis, Maxima and minima, Maxima and minima (Mathematics)

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The grid bootstrap and the autoregressive model

Article Abstract:

The "grid" bootstrap method is used to calculate the distribution of a values on a grid. This method had advantages over the conventional bootstrap method by giving first-order correctness in parameter space.

Science & research, Econometrics & Model Building, Statistical Data Included, Models, Usage, Econometrics, Business models, Distribution (Probability theory)

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