Haupt, Harry and Oberhofer, Walter (2005) Stochastic response restrictions. JOURNAL OF MULTIVARIATE ANALYSIS, 95 (1). pp. 66-75. ISSN 0047-259X,
Full text not available from this repository. (Request a copy)Abstract
This paper considers the implementation of prior stochastic information on unknown outcomes of the response variables into estimation and forecasting of systems of linear regression equations in the context of time series, cross sections, pooled and longitudinal data models. The established approach proves particularly useful when only aggregated information on the response variables is available, as is frequently the case in applied statistics. We address the combination of prior stochastic and sample information as an extension of standard Gauss-Markov theory. Prior stochastic information could be given in the form of experts' expectations, or from estimations and/or projections of other models. A classical (i.e. non-Bayesian) regression framework for the incorporation of prior knowledge in generalized least-squares estimation and prediction is developed. (c) 2004 Elsevier Inc. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | ; stochastic response restrictions; BLU; Gauss-Markov theory |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Entpflichtete oder im Ruhestand befindliche Professoren > Prof. em. Dr. Walter Oberhofer |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 07 May 2021 10:51 |
| Last Modified: | 07 May 2021 10:51 |
| URI: | https://pred.uni-regensburg.de/id/eprint/35949 |
Actions (login required)
 |
View Item |
