DSDM PROJECT - GAUMEQ: A GENERALIZED AUTOREGRESSIVE MULTIPLE EQUATIONS ESTIMATION PROCEDURE

GAUMEQ, a generalized autoregressive multiple equations procedure is designed to take proper account of equation-specific autocorrelation schemes of residuals in equations which are either grouped for estimation purposes, in order to take into account the contemporaneous correlation among errors of different equations, or simultaneously estimated. As many as five different orders of autocorrelation can be corrected for in the specific scheme associated with each of the 10 or fewer equations considered. Four estimators and their iterated versions can be obtained: ISUGAU, an iterated version of Park's seemingly unrelated estimator, TSGAU, a three-stage least-squares estimator, IFIVER, an interated version of Fair's full-information instrumental variables efficient estimator and MIFIDA, a modified iterated version of Dhrymes' full information dynamic autoregressive estimator. (TRRL)

  • Corporate Authors:

    University of Montreal

    Center for Research on Transportation (CRT)/CIRRELT
    P.O. Box 6128, Station Centre-ville
    Montreal, Quebec  Canada  H3C 3J7
  • Authors:
    • GAUDRY, MJI
    • Liem, T C
  • Publication Date: 1981-6

Media Info

  • Features: References; Tables;
  • Pagination: 49 p.
  • Serial:
    • Issue Number: 215

Subject/Index Terms

Filing Info

  • Accession Number: 00345835
  • Record Type: Publication
  • Source Agency: Transportation Association of Canada (TAC)
  • Report/Paper Numbers: Monograph
  • Files: ITRD, TRIS
  • Created Date: Feb 27 1982 12:00AM