New evidence on the small properties of estimators of SUR models with autocorrelated disturbances

DOI10.1016/0304-4076(80)90005-6zbMath0431.62062OpenAlexW2028259685MaRDI QIDQ1138327

Asatoshi Maeshiro

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90005-6

zbMATH Keywords

ordinary least squares estimatorexogenous variablesautocorrelated disturbancesSUR modelseffect of trendssmall-sample relative performance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items

On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors, Estimating the autocorrelated error model with trended data, Selecting estimators and variables in the seemingly unrelated regression model, On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

Cites Work

• An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• Investment Demand: An Empirical Contribution to the Aggregation Problem
• The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Efficient Estimation of a System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias