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The Estimation of a Lagged Regression Relation

E. J. Hannan
Biometrika
Vol. 54, No. 3/4 (Dec., 1967), pp. 409-418
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2335033
Stable URL: http://www.jstor.org/stable/2335033
Page Count: 10
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The Estimation of a Lagged Regression Relation
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Abstract

The paper discusses a technique for estimating the matrices of coefficients, B(j), in a regression relation relating a vector time series, z(n), to lagged values, y(n - j), - p ⩽ j ⩽ q, of a second vector time series. The technique depends upon calculation of spectra and cross-spectra. Once these are computed the estimates B̂(j) are obtained successively without recalculation when an additional lag is introduced. When the residuals from the regression are generated by a linear process independent of y(n) it is shown that under some additional regularity conditions the estimates are asymptotically jointly normal, the variances and covariances of the elements of $\hat\beta(j)$ being independent of j and of p and q. The method of estimation is not efficient unless the spectra of the y process and the residual process are the same. Some idea of the magnitude of B̂(k) for lags for which computations have not been done can be obtained without doing these computations.

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