Estimating seemingly unrelated regression models with vector autoregressive disturbances
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Publication:951434
DOI10.1016/S0165-1889(02)00105-7zbMath1180.65012OpenAlexW2016920816MaRDI QIDQ951434
Paolo Foschi, Erricos John Kontoghiorghes
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00105-7
numerical examplesleast squaresvariance-covariance matrixgeneralized QR decompositioniterative estimation algorithmseemingly unrelated regression models
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Related Items (5)
Computationally efficient methods for estimating the updated-observations SUR models ⋮ Computational methods for modifying seemingly unrelated regressions models. ⋮ Estimating seemingly unrelated regression models with vector autoregressive disturbances ⋮ A comparative study of algorithms for solving seemingly unrelated regressions models ⋮ A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
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