Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances

DOI10.1016/S0304-4076(00)00025-7zbMath0964.62055WikidataQ126297338 ScholiaQ126297338MaRDI QIDQ1841188

Darrell A. Turkington

Publication date: 19 July 2001

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

zbMATH Keywords

moving average processesSURE modelgeneralised vecvector correlated disturbances

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) Matrix equations and identities (15A24)

Related Items (6)

Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors ⋮ Efficient estimation of seemingly unrelated additive nonparametric regression models ⋮ Subspace algorithms for identifying separable-in-denominator 2D systems with deterministic–stochastic inputs ⋮ Estimating seemingly unrelated regression models with vector autoregressive disturbances ⋮ A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors ⋮ On Kronecker products, tensor products and matrix differential calculus

Cites Work

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• Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Multilinear Algebra

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