Markov regression models for time series: a quasi-likelihood approach.

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Summary

A quasi-likelihood (QL) approach to regression analysis with time series data is discussed, analogous to QL for independent observations, large-sample properties of the regression coefficients depend only on correct specification of the first conditional moment.

Type
article
Published
1988-12-01
Cited by
468
References
24

Keywords

Categorical variable, Markov chain, Mathematics, Statistics, Econometrics

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