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This chapter is devoted to the estimation of the classical linear regressionRegression model. After detailing the assumptions underlying this model, we develop the appropriate estimation methods, namely ordinary least squares (OLS) and maximum likelihood. We will also look at the properties of these estimators before examining the general dynamic linear model.

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Estimating the Model

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  • 发表日期：

    2025年

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  • Francis J. Bismans,
  • Olivier Damette

摘要

This chapter is devoted to the estimation of the classical linear regressionRegression model. After detailing the assumptions underlying this model, we develop the appropriate estimation methods, namely ordinary least squares (OLS) and maximum likelihood. We will also look at the properties of these estimators before examining the general dynamic linear model.