GLSEM and TS Models

  • Phoebus J. Dhrymes
Chapter

Abstract

In this chapter, we take up two important applications, involving simultaneous equation, AR, and ARMA models, which are very important in several disciplines, such as economics, other social sciences, engineering and statistics. We partially discussed such topics in Chap. 4, in the context of difference equations, since simultaneous equation and AR models involve the use of difference equations and it is important to establish the nature and the properties of their solutions.

Keywords

Ordinary Little Square Exogenous Variable Endogenous Variable Generalize Little Square Ordinary Little Square Estimator 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Bibliography

  1. Anderson, T.W. and H. Rubin (1949), Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations, Annals of Mathematical Statistics, pp. 46–63.Google Scholar
  2. Anderson, T.W. and H. Rubin (1950), The Asymptotic Properties of Estimates of Parameters of in a Complete System of Stochastic Equations, Annals of Mathematical Statistics, pp. 570–582.Google Scholar
  3. Balestra, P., & Nerlove, M. (1966). Pooling cross section time series data in the estimation of a dynamic model: The demand for natural gas. Econometrica, 34, 585–612.CrossRefGoogle Scholar
  4. Bellman, R. G. (1960). Introduction to matrix analysis. New York: McGraw-Hill.MATHGoogle Scholar
  5. Billingsley, P. (1968). Convergence of probability measures. New York: Wiley.MATHGoogle Scholar
  6. Billingsley, P. (1995). Probability and measure (3rd ed.). New York: Wiley.MATHGoogle Scholar
  7. Brockwell, P. J., & Davis, R. A. (1991). Time series: Theory and methods (2nd ed.). New York: Springer-Verlag.CrossRefGoogle Scholar
  8. Chow, Y. S., & Teicher, H. (1988). Probability theory (2nd ed.). New York: Springer-Verlag.CrossRefMATHGoogle Scholar
  9. Dhrymes, P. J. (1969). Alternative asymptotic tests of significance and related aspects of 2SLS and 3SLS estimated parameters. Review of Economic Studies, 36, 213–226.CrossRefGoogle Scholar
  10. Dhrymes, P. J. (1970). Econometrics: Statistical foundations and applications. New York: Harper and Row; also (1974). New York: Springer-Verlag.Google Scholar
  11. Dhrymes, P. J. (1973). Restricted and Unrestricted Reduced Forms: Asymptotic Distributions and Relative Efficiencies, Econometrica, vol. 41, pp. 119–134.MathSciNetCrossRefMATHGoogle Scholar
  12. Dhrymes, P. J. (1978). Introductory economics. New York: Springer-Verlag.CrossRefGoogle Scholar
  13. Dhrymes, P.J. (1982) Distributed Lags: Problems of Estmation and Formulation (corrected edition) Amsterdam: North HollandGoogle Scholar
  14. Dhrymes, P. J. (1989). Topics in advanced econometrics: Probability foundations. New York: Springer-Verlag.CrossRefMATHGoogle Scholar
  15. Dhrymes, P. J. (1994). Topics in advanced econometrics: Volume II linear and nonlinear simultaneous equations. New York: Springer-Verlag.CrossRefMATHGoogle Scholar
  16. Hadley, G. (1961). Linear algebra. Reading: Addison-Wesley.MATHGoogle Scholar
  17. Kendall, M. G., & Stuart, A. (1963). The advanced theory of statistics. London: Charles Griffin.Google Scholar
  18. Kendall M. G., Stuart, A., & Ord, J. K. (1987). Kendall’s advanced theory of statistics. New York: Oxford University Press.MATHGoogle Scholar
  19. Kolassa, J. E. (1997). Series approximation methods in statistics (2nd ed.). New York: Springer-Verlag.CrossRefMATHGoogle Scholar
  20. Sims, C.A. (1980). Macroeconomics and Reality, Econometrica, vol. 48, pp.1–48.Google Scholar
  21. Shiryayev, A. N. (1984). Probability. New York: Springer-Verlag.CrossRefMATHGoogle Scholar
  22. Stout, W. F. (1974). Almost sure convergence. New York: Academic.MATHGoogle Scholar
  23. Theil, H. (1953). Estimation and Simultaneous Correlation in Complete Equation Systems, mimeograph, The Hague: Central Plan Bureau.Google Scholar
  24. Theil, H. (1958). Economic Forecasts and Policy, Amsterdam: North Holland.Google Scholar

Copyright information

© the Author 2013

Authors and Affiliations

  • Phoebus J. Dhrymes
    • 1
  1. 1.Department of EconomicsColumbia UniversityNew YorkUSA

Personalised recommendations