Two sided analysis of variance with a latent time series
Many real life regression problems exhibit some kind of calender time dependency and it is often of interest to predict the behavior of the regression function along this calender time direction. This can be formulated as a regression model with an added latent time series and the task is to be able to analyse this series. In this paper we engage this through a two step procedure, firstly we treat the time dependent elements as parameters and estimate them in the two-sided analysis of variance setup, secondly we use the estimated time series as predictor of the latent time series. An application to risk theory is discussed.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999.
"The Generalized Dynamic Factor Model: Identification and Estimation,"
CEPR Discussion Papers
2338, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
- Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
- Bent Nielsen, 1999.
"The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes,"
Economics Series Working Papers
1999-W19, University of Oxford, Department of Economics.
- Nielsen, Bent, 2001. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Econometrica, Econometric Society, vol. 69(1), pages 211-19, January.
- Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 1-23, March.
- Bent Nielsen, 1995.
"Bartlett correction of the unit root test in autoregressive models,"
11 & 98., Economics Group, Nuffield College, University of Oxford.
- Nielsen, B., 1995. "Bartlett Correction of the Unit Root test in Autoregressive Models," Economics Papers 98, Economics Group, Nuffield College, University of Oxford.
- Pesaran, M.H., 2003.
"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
Cambridge Working Papers in Economics
0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
When requesting a correction, please mention this item's handle: RePEc:nuf:econwp:0425. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett)
If references are entirely missing, you can add them using this form.