Hi folks,
Not sure what this sort of estimation is called. I have a 2-column time-series
x(i,t) [with (i=1,2; t=1,...T)], and I want to do the following 'simultaneous'
regressions:
x(1,t) = (d - 1)(x(1, t-1) - mu(1))
x(2,t) = (d - 1)(x(2, t-1) - mu(2))
And I want to determine the coefficients
On Tue, Aug 31, 2010 at 6:58 AM, murali.me...@avivainvestors.com wrote:
Hi folks,
Not sure what this sort of estimation is called. I have a 2-column
time-series x(i,t) [with (i=1,2; t=1,...T)], and I want to do the following
'simultaneous' regressions:
x(1,t) = (d - 1)(x(1, t-1) - mu(1))
On 31/08/2010 6:58 AM, murali.me...@avivainvestors.com wrote:
Hi folks,
Not sure what this sort of estimation is called. I have a 2-column time-series
x(i,t) [with (i=1,2; t=1,...T)], and I want to do the following 'simultaneous'
regressions:
x(1,t) = (d - 1)(x(1, t-1) - mu(1))
x(2,t) = (d -
Message-
From: Duncan Murdoch [mailto:murdoch.dun...@gmail.com]
Sent: 31 August 2010 12:31
To: Menon Murali
Cc: r-help@r-project.org
Subject: Re: [R] simultaneous estimation
On 31/08/2010 6:58 AM, murali.me...@avivainvestors.com wrote:
Hi folks,
Not sure what this sort of estimation
: [R] simultaneous estimation
On 31/08/2010 6:58 AM, murali.me...@avivainvestors.com wrote:
Hi folks,
Not sure what this sort of estimation is called. I have a 2-column
time-series x(i,t) [with (i=1,2; t=1,...T)], and I want to do the
following 'simultaneous' regressions:
x(1,t) = (d - 1)(x(1
On 31/08/2010 11:00 AM, David Winsemius wrote:
On Aug 31, 2010, at 10:35 AM, murali.me...@avivainvestors.com murali.me...@avivainvestors.com
wrote:
Hi Duncan,
Thanks for your response.
Indeed, independent normal errors were what I had in mind. As for
variances, if I assume they are
I would hazard the guess that this would be better estimated as a
multivariate time series (e.g. AR1) in which the covariance between the two
innovation components was NOT assumed to be 0 (nor were their variances
assumed to be the same). The R time series task view lists packages to do
this, but
.
Thanks,
Murali
From: Bert Gunter [mailto:gunter.ber...@gene.com]
Sent: 31 August 2010 17:12
To: Duncan Murdoch
Cc: David Winsemius; r-help@r-project.org; Menon Murali
Subject: Re: [R] simultaneous estimation
I would hazard the guess that this would be better
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