Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Estimation of SEM with GARCH errors ⋮ OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS ⋮ Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances

Cites Work

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On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors
Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model
The commutation matrix: Some properties and applications
A general approach to Lagrange multiplier model diagnostics
FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
Bayes inference in regression models with ARMA\((p,q)\) errors
Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
Misspecification tests and their uses in econometrics
The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals
Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
The vec-permutation matrix, the vec operator and Kronecker products: a review
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
The Elimination Matrix: Some Lemmas and Applications
Alternative Tests of Independence between Stochastic Regressors and Disturbances
Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
Linear Statistical Inference and its Applications

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