Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
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Publication:1260675
DOI10.1016/0304-4076(93)90048-AzbMath0806.62099MaRDI QIDQ1260675
Carlos Martins-Filho, David M. Mandy
Publication date: 25 August 1993
Published in: Journal of Econometrics (Search for Journal in Brave)
consistency; asymptotic efficiency; covariance matrix; random coefficient models; generalized least squares; two-step estimation; location vector; asymptotically normal estimators; additive heteroscedastic contemporaneous correlation; cross-equation parameter restrictions; seemingly unrelated regression systems; share equation systems
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SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form, Nonparametric seemingly unrelated regression
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