Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Distributed Lag Regression with an Almost Periodic Design Matrix

M. J. Katzoff and R. H. Shumway
Journal of Applied Probability
Vol. 15, No. 4 (Dec., 1978), pp. 759-773
DOI: 10.2307/3213432
Stable URL: http://www.jstor.org/stable/3213432
Page Count: 15
  • Read Online (Free)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Distributed Lag Regression with an Almost Periodic Design Matrix
Preview not available

Abstract

Frequency domain estimation and tests of hypotheses are considered for a general multivariate distributed lag regression model. The usual vector of regression functions is replaced by a matrix of almost periodic functions, a case for which the terms appearing in the frequency domain estimators have well-defined limits. Asymptotic distributions and consistency are established for the regression coefficients and error spectra. A test statistic is proposed for the no regression hypothesis which is asymptotically central F under the null hypothesis and converges to infinity under the alternative. In the multivariate case, a product of beta-distributed variables is obtained.

Page Thumbnails

  • Thumbnail: Page 
759
    759
  • Thumbnail: Page 
760
    760
  • Thumbnail: Page 
761
    761
  • Thumbnail: Page 
762
    762
  • Thumbnail: Page 
763
    763
  • Thumbnail: Page 
764
    764
  • Thumbnail: Page 
765
    765
  • Thumbnail: Page 
766
    766
  • Thumbnail: Page 
767
    767
  • Thumbnail: Page 
768
    768
  • Thumbnail: Page 
769
    769
  • Thumbnail: Page 
770
    770
  • Thumbnail: Page 
771
    771
  • Thumbnail: Page 
772
    772
  • Thumbnail: Page 
773
    773