Included are the procedure steig.g along with a file steig.rdme which
discusses installation and the estimation procedure. Steig.g
procedure
adaptively estimates the coefficient vector in the estimation of a
linear regression
model where the residuals are allowed to follow an ARMA process. This
procedure will implement the estimator discussed in the paper:
Steigerwald, D.,(92)
"Adaptive Estimation in Time Series Regression Models," Journal
of
Econometrics 54, 251-275. We note this estimation procedure
generalizes
two well know models. When no serial dependence exists in the
residuals the
model reduces to Bickel's(82, Annals of Statistics) model.
When no
regressors are present the model reduces to Kreiss' (87, Annals
of Statistics)
model.
Download in Text format: download
steig.g
download
readme file