Z he 33 nx wy y i n w 1 z i n w 1 34

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: f or SA R and SD M model s can b e wr i t t en i n t he same f or m wher e: Z = ι n X for t he SAR model and Z = ιy = ρWX + forδt+ εSDM model. Z he (3.3) nX Wy y = ( I n − ρW ) − 1 Z δ + ( I n − ρW ) − 1 ε (3.4) ε ∼ N (0, σ2 I+ ) δ + ε y = ρW y n Z (3.3) −1 −1 (3s Fr om t he model st aty me( Itn (− .3) , if t Ze t r uenv−l ue o) t he par amet er ρ wa.4) e = n 3 ρW ) h δ + ( I a ρW f ε known • o Definindoεcoul=>ear r an ) e e e model st at ement iSAR. as shown t be say ρ∗, we ∼ N (0,SDM t h definindo => n ( 3.3) e d r σ2 I ng in (3.5). Sendo ρl o e erdadeiro t he t r e v l ue of t he par ρ, t e Fr•om t he mode*st atvment ( 3.3) , if valorudoaparâmetro ameo r ρ was known modeloρacimaupode rser e t he model st at ecomo (se ) as shown t o be say ∗, we co l d r ear ang rearranjado ment i n 3.3 y − ρ∗W y = Z δ + ε (3.5) in (3.5). segue: . ˆ T hi s suggest s an est i mat e for δ of δ = ( Z Z ) − 1 Z ( I n − ρ∗W ) y . In t hi s ∗ y − e fo y = Z δ + δ case...
View Full Document

This note was uploaded on 05/01/2013 for the course ECONOMIA 001 taught by Professor Farinha during the Fall '10 term at Universidade de Lisboa.

Ask a homework question - tutors are online