Estimation and Inference for Heteroscedastic Systems of Equations

DOI10.2307/2648786MaRDI QIDQ3324904zbMATH OpenOpenAlexFDO

Authors Gregory M. Duncan

Publication date 1983

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2648786

zbMATH Keywords

heteroscedasticityparameter restrictionsrobust parameter covariance matricesseemingly unrelated regressionsimulations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(4)

• Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
• Structural inference of the parameters of the heteroscedastic simultaneous equation model
• The Use of Multivariate Generated Regressors in the Presence of Heteroskedasticity
• Robust Wald Tests in Sur Systems with Adding-up Restrictions

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