Accession Number : AD0690131
Title : SOME ASPECTS OF POOLING TIME SERIES AND CROSS SECTION DATA: I. LINEAR MODELS WITH TWO RANDOM COMPONENTS.
Descriptive Note : Technical rept.,
Corporate Author : WISCONSIN UNIV MADISON DEPT OF STATISTICS
Personal Author(s) : Tiao,G. C. ; Ali,M. M.
Report Date : MAR 1969
Pagination or Media Count : 39
Abstract : The paper considers some aspects of the problem of pooling time series and cross section data. Specifically, we analyse, from a Bayesian viewpoint, linear regression models with two random components one of which is autocorrelated. The problem of making inferences about the parameters when the autocorrelated component is stationary is first discussed. The analysis is illustrated by a numerical example showing that the time series component of the data can exert a strong influence in determining the posterior distribution of the regression coefficients. The results are then generalized to non-stationary and explosive models. Finally, the case of pooling several linear models is considered and a possible application to seasonal series is indicated. (Author)
Descriptors : (*ECONOMICS, *TIME SERIES ANALYSIS), (*REGRESSION ANALYSIS, MATHEMATICAL MODELS), ANALYSIS OF VARIANCE, CORRELATION TECHNIQUES, STATISTICAL DISTRIBUTIONS, STATISTICAL DATA, STATISTICAL FUNCTIONS, SAMPLING
Subject Categories : Economics and Cost Analysis
Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE