Estimation of seemingly unrelated regression with lagged dependent variables and autocorrelated errors

DOI10.1080/00949658008810355zbMath0424.62081OpenAlexW2073260285MaRDI QIDQ3859171

Wayne A. Fuller, George Wang, M. A. Hidiroglou

Publication date: 1980

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658008810355

zbMATH Keywords

autocorrelated errorslagged dependent variablesestimation of seemingly unrelated regressionstwo-step Gauss-Newton method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (2)

The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models ⋮ Estimation of seemingly unrelated regression with lagged dependent variables and autocorrelated errors

Cites Work

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• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• Estimation of seemingly unrelated regression with lagged dependent variables and autocorrelated errors
• Iterative Estimation of a Set of Linear Regression Equations
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• One-line random number generators and their use in combinations
• A Comparative Study of Alternative Estimators in a Distributed Lag Model
• Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First-Order Autoregressive Disturbances

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