On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

DOI10.1016/0304-4076(93)90075-GzbMath0567.62098MaRDI QIDQ1059978

William E. Griffiths, Howard E. Doran

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90075-g

zbMATH Keywords

generalized least squares estimator; seemingly unrelated regressions model; relative efficiencies; approximate generalized least squares estimator; first-order vector autoregressive disturbances; loss of efficiency

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

65C05: Monte Carlo methods

Related Items

A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors, A generalized test for perfect aggregation

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