The ARAR error model for univariate time series and distributed lag models

R. A. L. Carter; A. Zellner

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing, simple to implement, and work well in practice.

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Year of publication:	2002 ; [Elektronische Ressource]
Other Persons:	Carter, Richard A. L. (contributor) ; Zellner, Arnold (contributor)
Institutions:	University of Western Ontario / Department of Economics (contributor)
Publisher:	London, Ontario : Univ. of Western Ontario, Dep. of Economics
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| ARMA-Modell \| ARMA model

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Extent:	Online-Ressource, 65, [16] p., text ill
Series:	Research report / Department of Economics, Social Science Centre, The University of Western Ontario. - London, Ont. : [Verlag nicht ermittelbar], ZDB-ID 2256392-1. - Vol. 2002-5
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Notes:	Gesamttitel von der Homepage Systemvoraussetzungen: Acrobat reader
Other identifiers:	hdl:10419/70413 [Handle]
Classification:	C11 - Bayesian Analysis ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10001699672