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A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
Spatial autoregressive model two-stage least squares generalized moments estimation
2015/9/24
Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computati...
Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances
spreg spatial-autoregressive models
2015/9/24
We describe the spreg command, which implements a maximum
likelihood estimator and a generalized spatial two-stage least-squares estimator
for the parameters of a linear cross-sectional spatial-auto...
Modified Two-stage Least-squares Estimators For the Estimation of A Structural Vector...
Structural vector autoregression Unit root Cointegration Asymptotic properties Hypothesis testing
2011/4/2
We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propo...