On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

DOI10.1016/0304-4076(93)90075-GzbMath0567.62098OpenAlexW2024370084MaRDI QIDQ1059978

William E. Griffiths, Howard E. Doran

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90075-g

zbMATH Keywords

generalized least squares estimatorseemingly unrelated regressions modelrelative efficienciesapproximate generalized least squares estimatorfirst-order vector autoregressive disturbancesloss of efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (2)

A generalized test for perfect aggregation ⋮ A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors

Cites Work

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