Article ID Journal Published Year Pages File Type
10525934 Statistics & Probability Letters 2005 7 Pages PDF
Abstract
A dynamic time series LInear Structural RELation (LISREL) model is proposed for the analysis of stationary multivariate time series. The model is suitable not only for macro models, but also for panel data models. The implied covariance matrix is derived and it may be used in exact maximum likelihood estimation.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
,