Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis

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dc.contributor.author Geweke, JF
dc.contributor.author Singleton, KJ
dc.date.accessioned 2011-02-07T06:26:17Z
dc.date.issued 1981
dc.identifier.citation Journal of Econometrics, 1981, 17 (3), pp. 287 - 304
dc.identifier.issn 0304-4076
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/13952
dc.description.abstract The theory of estimation and inference in a very general class of latent variable models for time series is developed by showing that the distribution theory for the finite Fourier transform of the observable variables in latent variable models for time series is isomorphic to that for the observable variables themselves in classical latent variable models. This implies that analytic work on classical latent variable models can be adapted to latent variable models for time series, an implication which is illustrated here in the context of a general canonical form. To provide an empirical example a latent variable model for permanent income is developed, its parameters are shown to be identified, and a variety of restrictions on these parameters implied by the permanent income hypothesis are tested. © 1981.
dc.language eng
dc.relation.isbasedon 10.1016/0304-4076(81)90003-8
dc.title Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis
dc.type Journal Article
dc.parent Journal of Econometrics
dc.journal.volume 3
dc.journal.volume 17
dc.journal.number 3 en_US
dc.publocation Amsterdam en_US
dc.identifier.startpage 287 en_US
dc.identifier.endpage 304 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140305 Time-Series Analysis
dc.personcode 101228
dc.percentage 100 en_US
dc.classification.name Time-Series Analysis en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc false
utslib.collection.history Closed (ID: 3)


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