Displaying 2 results from an estimated 2 matches for "gamma3".
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gamma
2004 Jun 12
2
ordered probit or logit / recursive regression
...e,
plus standard error of the mean:
Mean SD Naive SE Time-series SE
(Intercept) 1.10010 0.1580 0.002497 0.003518
x1 0.09309 0.1238 0.001958 0.001953
x2 -0.53336 0.1194 0.001887 0.001943
gamma2 1.08807 0.1565 0.002474 0.004187
gamma3 1.54971 0.1818 0.002875 0.004952
2. Quantiles for each variable:
2.5% 25% 50% 75% 97.5%
(Intercept) 0.8037 0.99397 1.09560 1.2053 1.4253
x1 -0.1503 0.01075 0.09285 0.1784 0.3393
x2 -0.7671 -0.61606 -0.53358 -0.4534 -0.2977
gamm...
2009 Apr 11
2
who happenly read these two paper Mohsen Pourahmadi (biometrika1999, 2000)
...get the same or close output as he did,so,any one who
have happenly read his paper,got any idea how he got the LS estimates of
gamma.
he assumed the autoregressive phi_tj satisfy the cubic function on lag of
time,where t is from 1 to 11,j from 1 to t-1,his model is:
phi_tj=gamma1+gamma2*(t-j)+gamma3*(t-j)^2+gamma4*(t-j)^3, #biometrika
1999,page685
at first moment ,I thougt my design matrix should be
1 1 1 1
1 2 4 8
1 3 9 27.....
but I found this is wrong,actually I should(I think) use a polynomial design
matirx with level of 11,degree=3
here is my rocode~~
y1=c(1,0.9,0.98,1.06...