L-1.2 : a program for box-cox transformations in regression models with heteroskedastic andautoregressive residuals.

Author(s)
Liem, T.C. Dagenais, M.G. & Gaudry, M.
Year
Abstract

L-1.2 is a program designed to deal with the specification of the functional form in the generalized single-equation regression model when the functional form of heteroskedasticity of the residuals, which may also be auto-correlated, is fully analysed. Fixed or estimated parameters in the Box-Cox transformations can be associated with the dependent and groups of independent variables, which may be simultaneously modified by a chosen autocorrelation structure in which the autoregressive parameters are estimated, and by a selected functional form of heteroskedasticity in which the different parameters can be either fixed or estimated. The asymptotic covariance matrix of all parameter estimates of the system is computed. A number of useful outputs, including elaborate statistics associated with forecasts and plots of the likelihood functions, can also be obtained. (Author/publisher)

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Publication

Library number
920084 ST [electronic version only]
Source

Montréal, Université de Montréal, Centre de Recherche sur les Transports C.R.T., 1987, III + 81 p., 12 ref.; CRT 510

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