Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10525934 | Statistics & Probability Letters | 2005 | 7 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Johan Lyhagen,