Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors

zbMath0626.62053MaRDI QIDQ580852

U. L. Gouranga Rao

Publication date: 1986

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

generalized least squares estimatorssimultaneous equations modelsasymptotically efficientconsistentCochran-Orcutt type estimatorfirst order autocorrelated errorsfull information estimatoriterative procedureslimited information estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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