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Slides32-2010 - System Estimators Least Squares and Maximum...

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System Estimators - Least Squares and Maximum Likelihood: Lecture XXXII Charles B. Moss November 28, 2010 Charles B. Moss () System Estimators November 28, 2010 1 / 13
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1 Iterative Seemingly Unrelated Regression 2 Maximum Likelihood Charles B. Moss () System Estimators November 28, 2010 2 / 13
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Iterative Seemingly Unrelated Regression Consider the derived demand equations x 1 t = α 01 + α 11 w nt + α 21 w pt + β 1 c t + 1 t x 2 t = α 02 + α 12 w nt + α 22 w pt + β 2 c t + 2 t (1) where α 12 = α 21 by Young’s theorem applied to the cost function. Charles B. Moss () System Estimators November 28, 2010 3 / 13
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First, consider the spreadsheet SystemExample2.csv available on the course Web page. This spreadsheet contains the stacked dataset so that the first 50 observations are observe rations for the derived demand for nitrogen and the second 50 observations are the derived demand for phosphorous. I From this we form the y vector and x matrix for system regression y = 211 . 275 189 . 379 . . . 201 . 329 214 . 046 197 . 990 . . . 204 . 331 , x = 1 0 . 5567 · · · 0 0 · · · 0 1 0 . 0971 · · · 0 0 · · · 0 .
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