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

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

Esin Firuzan , Selim Susam

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

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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

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
Journal Section Articles
Authors

Esin Firuzan

Selim Susam

Publication Date May 4, 2015
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.
AMA Firuzan E, Susam S. PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. AUJST-A. May 2015;14(3):263-276.
Chicago 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 14, no. 3 (May 2015): 263-76.
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 E. Firuzan and S. Susam, “PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS”, AUJST-A, vol. 14, no. 3, pp. 263–276, 2015.
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 2015), 263-276.
JAMA 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, 2015, pp. 263-76.
Vancouver Firuzan E, Susam S. PARAMETERS’ PROPERTIES OF BIVARIATE CO NTEGRATED VAR (1) PROCESS. AUJST-A. 2015;14(3):263-76.
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