while the mu is
specific.
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
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
On 31/08/2010 11:00 AM, David Winsemius wrote:
On Aug 31, 2010, at 10:35 AM, > 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 the same, would a 'pooled model'
> apply in this case? Is
again omitting the
join point) and assigned that value to "d"?
--
David.
Cheers,
Murali
-Original 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 3
--Original 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 so
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 -
On Tue, Aug 31, 2010 at 6:58 AM, 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 - 1)(x(2,
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
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