Learning Econometrics Using GAUSS by George G. Judge, William Griffith, Helmut Lütkepohl,

By George G. Judge, William Griffith, Helmut Lütkepohl, Tsoung-Chao Lee, Helmut Lutkepohl

A working laptop or computer guide to accompany "Introduction to the speculation and perform of Econometrics" (Second edition).

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3) for t = 1, . . , n, where Ï1 and ‚1 are the values of the level and the regression coefficient at the beginning of the series and apply to all t. For example, taking the variable TIME = 1, 2, . . 460e-008 Strong convergence Again the estimation of the parameters of this deterministic model requires no iterations. 4140728. 00145, respectively. 1). 00145 xt for t = 1, . . 0229981. 1. 3. 1), as expected. More generally, and in contrast with the deterministic linear trend model, the present state space model allows a classical regression analysis using any continuous predictor variable.

These periods coincide with the well-known oil and energy crises in the 1970s. 10. Although the variance of the seasonal disturbances is smaller than that of the other two components, the changes over time in the estimated seasonal component of inflation series are clearly visible. 4. 3. Diagnostic tests for local level and seasonal model and UK inflation series. 99 assumption satisfied + + + − − its evolution over time is quite smooth. The residuals of this level plus seasonal model are close to independent random values (white noise).

However, the fit of the latter model is still inferior to the one obtained with the local level model. This means that the addition of a slope component to the local level model is not effective in improving the description of the observed time series. Therefore, the slope is a redundant component in this case, and is removed from further analyses of the UK drivers KSI series. A similar strategy is described by Ord and Young (2004) on the basis of t-statistics rather than the AIC. 2 indicate, the local linear trend model is still not the appropriate model for obtaining a good description of the log of the UK drivers KSI, for reasons that will be explained in Chapter 4.

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