Estimation of rational transfer function models
作者:
Lon-Mu Liu,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1984)
卷期:
Volume 13,
issue 6
页码: 775-784
ISSN:0361-0918
年代: 1984
DOI:10.1080/03610918408812414
出版商: Marcel Dekker, Inc.
关键词: ARMA model;transfer function model;rational structural form model;econometric model;rational polynomial;model estimation;starting values
数据来源: Taylor
摘要:
In the estimation of rational transfer function models, it has been recommended that starting values of a transfer function component be assumed to be zero (or a constant) in the recursive computation of the transfer function response. It is demonstrated that such algorithms may lead to serious bias in the estimation of moving average parameters. This paper discusses several other algorithms that may rectify this problem. It is found that the starting-value-free (SVF) method is a more reliable algorithm. For computer programs using the traditional algorithm, i.e., the zero-starting-value (ZSV) method, the bias problem can be easily remedied using a short-cut method that omits appropriate number of values at the beginning of the residual series.
点击下载:
PDF (371KB)
返 回