Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

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

zbMATH Keywords

linear regressionasymptotic approximationsstochastic expansionsAR(1) errorsS.U.R. models

Mathematics Subject Classification ID

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)

Related Items (1)

Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model

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