Transforming the error-components model for estimation with general ARMA disturbances

DOI10.1016/0304-4076(94)01621-6zbMath0925.62374OpenAlexW2051282267MaRDI QIDQ1347109

John W. Galbraith, Victoria Zinde-Walsh

Publication date: 8 November 1999

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01621-6

Mathematics Subject Classification ID

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

Related Items (2)

Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ Homogeneity tests for one-way models with dependent errors under correlated groups

Cites Work

• Estimation of a linear regression model with stationary ARMA (p,q) errors
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Testing for Autocorrelation in Dynamic Random Effects Models
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Transforming the error-components model for estimation with general ARMA disturbances