Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
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Publication:1695683
DOI10.1515/jtse-2015-0014zbMath1499.62232OpenAlexW2338750951MaRDI QIDQ1695683
Elias Tzavalis, Spyridon D. Symeonides, Yiannis Karavias
Publication date: 7 February 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: http://pure-oai.bham.ac.uk/ws/files/27434837/SUR_paper_with_names.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)
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