Simon Fraser University

Preliminary Autoregressive Models

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
JSTOR Daily

Accurate Critical Constants for the One-Sided Approximate Likelihood Ratio Test of a Normal Mean Vector When the Covariance Matrix Is Estimated

Tang, Gnecco, and Geller (1989, Biometrika 76, 577-583) proposed an approximate likelihood ratio (ALR) test of the null hypothesis that a normal mean vector equals a null vector against the ...
Simon Fraser University

Parks Method (Autoregressive Model)

The model assumed is first-order autoregressive with contemporaneous correlation between cross sections. In this model, the covariance matrix for the vector of random errors u can be expressed as A ...
JSTOR Daily

Relative Prices and Money: A Vector Autoregression on Brazilian Data

https://doi.org/10.2307/1240612 • https://www.jstor.org/stable/1240612 Copy URL Recent data on Brazilian agricultural prices, industrial prices, and money supply ...