Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications

DOI10.1016/0304-4076(93)90048-AzbMath0806.62099MaRDI QIDQ1260675

Carlos Martins-Filho, David M. Mandy

Publication date: 25 August 1993

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

zbMATH Keywords

consistencyasymptotic efficiencycovariance matrixrandom coefficient modelsgeneralized least squarestwo-step estimationlocation vectorasymptotically normal estimatorsadditive heteroscedastic contemporaneous correlationcross-equation parameter restrictionsseemingly unrelated regression systemsshare equation systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear inference, regression (62J99)

Related Items (12)

Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system ⋮ Generalized adding-up in systems of regression equations ⋮ SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form ⋮ Seemingly unrelated nonparametric models with positive correlation and constrained error variances ⋮ Efficient estimation of varying coefficient seemly unrelated regression model ⋮ Two-stage estimation for seemingly unrelated nonparametric regression models ⋮ Efficient estimation of seemingly unrelated additive nonparametric regression models ⋮ Statistical inference on seemingly unrelated single-index regression models ⋮ A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model ⋮ Statistical inference on seemingly unrelated non-parametric regression models with serially correlated errors ⋮ Nonparametric seemingly unrelated regression ⋮ ASYMPTOTIC THEORY IN FIXED EFFECTS PANEL DATA SEEMINGLY UNRELATED PARTIALLY LINEAR REGRESSION MODELS

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