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Showing 1 to 2 of 2 for “"Conditional least squares."”.
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Evaluating and comparing Gaussian forecasts for discrete process time series.
… model parameters being estimated using each of conditional least squares, Yule-Walker, and maximum likelihood. We then perform similar methods and applications using the Poisson-Lindley integer autoregressive process. In chapter four we extend our work to the zero-inflated Poisson integer …
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Essays on Econometric Models of Relative Prices
… (SETAR) model. While it has been shown that the conditional least squares estimator in the SETAR model behaves poorly in general (see Kapetanios, 2000), this paper identifies systematic small sample biases that results when the distribution of observations between regimes is uneven. The …