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This paper presnets a method for simultaneously estimating a system of nonparametric multiple regressions which may seem unrelated, but where the errors are potentially correlated between equations. We show that the prime advantage of estimating such a 'seemingly unrelated' system of...
Persistent link: https://www.econbiz.de/10005149073
models within the reach of the applied researcher. The aim of this paper is to apply some of these techniques to a marleting …
Persistent link: https://www.econbiz.de/10005149066
In this paper, different approaches to dealing with nuisance parameters in the likelihood based inference are presented and illustrated by reference to the linear regression model with nonspherical errors. The estimator of the error variance using each of the approaches is also derived for the...
Persistent link: https://www.econbiz.de/10005149122
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The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected...
Persistent link: https://www.econbiz.de/10005427624
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period 1970-93, using two-way fixed and random effects models. Several competing model specifications are estimated and the …
Persistent link: https://www.econbiz.de/10005581110
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