Abstract
We consider a multivariate linear model with autocorrelated errors. The mean vector of the process is assumed to be linear in the time-trend parameter β and the within-group variation parameter γ. The least-squares estimators of β and γ, and the related estimators of the autoregressive parameter θ and the error covariance matrix Σ are derived and their asymptotic distributions are obtained. Large sample tests of H1:γ=0 and H2:β=0are derived and the limit distributions of the restricted least-squares estimators β̂H1 and γ̂H2 are obtained under H1 and H2, respectively.
Original language | English (US) |
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Pages (from-to) | 187-204 |
Number of pages | 18 |
Journal | Journal of Statistical Planning and Inference |
Volume | 41 |
Issue number | 2 |
DOIs | |
State | Published - Sep 1994 |
Keywords
- Multivariate linear model
- asymptotic tests
- autoregressive processes
- growth curves
- least-squares estimation
- limit distributions
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics