SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form

DOI10.1016/S0165-1765(96)00919-6zbMath0901.90045OpenAlexW2090238327MaRDI QIDQ1391607

Montserrat Farell, Michael Creel

Publication date: 22 July 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00919-6

zbMATH Keywords

multiple time-series modelsnon-parametric covariance matrix estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Uses Software

• nlmdl

Cites Work

• Unnamed Item
• Stochastic specification and estimation of share equation systems
• Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation

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