Model Selection Criterion Based on Kullback-Leibler’s Symmetric Divergence for Simultaneous Equations Model

• Main Authors: Warangkhana Keerativibool, Jirawan Jitthavech
• Language: English
• Published: Science Faculty of Chiang Mai University 2019
• Subjects: First-order moving average MA(1); Kullback information criterion for a system of SEM (SKIC); Simultaneous equations model (SEM); Transformation matrix
• Online Access: http://it.science.cmu.ac.th/ejournal/dl.php?journal_id=5945; http://cmuir.cmu.ac.th/jspui/handle/6653943832/66146
• Institution: Chiang Mai University

Moving average in the errors of simultaneous equations model (SEM) is a crucial problem making the estimators from the ordinary least squares (OLS) method inefficient. For this reason, we proposed the transformation matrix in order to correct the first-order moving average, MA(1), that generates in...