BibTex RIS Cite

PARAMETERS' PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS

Year 2013, Volume: 14 Issue: 3, 263 - 276, 04.05.2015

Esin Firuzan , Selim Susam

https://izlik.org/JA62WY93NN

Abstract

Tek değişkenli otoregresif sürecin genelleştirilmiş hali olan vektör otoregresif süreç değişkenler arasında otokorelasyon örneklerini modelleyerek yaygınca kullanılan bir süre çtir.Çalışmamızda ikideğişkenli birinci dereceden vektör otoregresif süreç göz önüne alınmıştır. Monte Carlo simulasyonu yardımıyla  ekran_al305nt305s305_53_01ˆ  nın  sonlu örneklem tahmin edicilerinin asismptotik özellikleri MATLABR2011A programı kullanılarak incelenmiştir.

Keywords

-

References

  • Akdi, Y (2010). Zaman Serileri Analizi (Birim Kökler ve Kointegrasyon). Gazi Kitabevi. Ankara
  • Cho, S., Hong, H., Ahn, S. (2010). Inference of Cointegrated Model with Exogenous Variables. SIRFE Working Papers 10-A04
  • Johansen, S (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control , 231,254.
  • Johansen, S (1996). Likelihood-Based Inference in Cointegrated Vector-Autoregressive Models. Oxford University Press, Oxford.,
  • Lütkepohl, H (2006). New Introduction to Multiple Time Series Analysis. Springer, Berlin.
  • Seo , B (2004). Estimation and Inference in The Cointegrated System with Stationary Covariates. Journal of the Korean Statistical Society , 345-366.
  • Wei, W (2006). Time Series Analysis: Univariate and Multivariate Methods. Pearson, United States. 276

İKİ DEĞİŞKENLİ EŞBÜTÜNLEŞİK VAR(1) SÜRECİNİN PARAMETRELERİNİN ÖZELLİKLERİ

Year 2013, Volume: 14 Issue: 3, 263 - 276, 04.05.2015

Esin Firuzan , Selim Susam

https://izlik.org/JA62WY93NN

Abstract

Keywords

Eşbütünleşme Vektör otoregresif süreç En çok olabilirlik tahmin edicisi En küçük kareler tahmin edicisi

References

  • Akdi, Y (2010). Zaman Serileri Analizi (Birim Kökler ve Kointegrasyon). Gazi Kitabevi. Ankara
  • Cho, S., Hong, H., Ahn, S. (2010). Inference of Cointegrated Model with Exogenous Variables. SIRFE Working Papers 10-A04
  • Johansen, S (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control , 231,254.
  • Johansen, S (1996). Likelihood-Based Inference in Cointegrated Vector-Autoregressive Models. Oxford University Press, Oxford.,
  • Lütkepohl, H (2006). New Introduction to Multiple Time Series Analysis. Springer, Berlin.
  • Seo , B (2004). Estimation and Inference in The Cointegrated System with Stationary Covariates. Journal of the Korean Statistical Society , 345-366.
  • Wei, W (2006). Time Series Analysis: Univariate and Multivariate Methods. Pearson, United States. 276
There are 7 citations in total.

Details

Primary Language English
Authors

Esin Firuzan

Selim Susam This is me

Publication Date May 4, 2015
IZ https://izlik.org/JA62WY93NN
Published in Issue Year 2013 Volume: 14 Issue: 3

Cite

APA Firuzan, E., & Susam, S. (2015). PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering, 14(3), 263-276. https://izlik.org/JA62WY93NN
AMA 1.Firuzan E, Susam S. PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. AUJST-A. 2015;14(3):263-276. https://izlik.org/JA62WY93NN
Chicago Firuzan, Esin, and Selim Susam. 2015. “PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS”. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering 14 (3): 263-76. https://izlik.org/JA62WY93NN.
EndNote Firuzan E, Susam S (May 1, 2015) PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering 14 3 263–276.
IEEE [1]E. Firuzan and S. Susam, “PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS”, AUJST-A, vol. 14, no. 3, pp. 263–276, May 2015, [Online]. Available: https://izlik.org/JA62WY93NN
ISNAD Firuzan, Esin - Susam, Selim. “PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS”. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering 14/3 (May 1, 2015): 263-276. https://izlik.org/JA62WY93NN.
JAMA 1.Firuzan E, Susam S. PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. AUJST-A. 2015;14:263–276.
MLA Firuzan, Esin, and Selim Susam. “PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS”. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering, vol. 14, no. 3, May 2015, pp. 263-76, https://izlik.org/JA62WY93NN.
Vancouver 1.Esin Firuzan, Selim Susam. PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. AUJST-A [Internet]. 2015 May 1;14(3):263-76. Available from: https://izlik.org/JA62WY93NN