Estimation of Seemingly Unrelated Regressions with Vector Autoregressive Errors

DOI10.2307/2284793zbMath0266.62041OpenAlexW4243021918MaRDI QIDQ5683583

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Publication date: 1973

Full work available at URL: https://doi.org/10.2307/2284793

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (8)

Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models ⋮ Goodness-of-fit in the seemingly unrelated regressions model. A generalization ⋮ First-order serial correlation in seemingly unrelated regressions ⋮ A generalized test for perfect aggregation ⋮ Estimation of seemingly unrelated regression equations ⋮ Alternative tests for a first-order vector autoregressive error specification ⋮ On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances ⋮ A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors

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