Chapter

Dynamic Time Series Model

Aman Ullah

in Finite Sample Econometrics

Published in print May 2004 | ISBN: 9780198774471
Published online August 2004 | e-ISBN: 9780191601347 | DOI: http://dx.doi.org/10.1093/0198774478.003.0006

Series: Advanced Texts in Econometrics

 Dynamic Time Series Model

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This chapter presents the finite sample analysis of the time series models used in economics and finance. It considers the autoregressive model (AR), AR with regressors, and autoregressive moving average models with regressors. The exact and approximate moments, as well as distributions of the estimators of the lag coefficients and regression coefficients were derived and analysed.

Keywords: time series models; autoregressive model; moments; distributions; lag coefficients

Chapter.  12576 words. 

Subjects: Econometrics and Mathematical Economics

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