Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
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Cites work
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- Alternative Tests of Independence between Stochastic Regressors and Disturbances
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model
- FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
- Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
- scientific article; zbMATH DE number 3980333 (Why is no real title available?)
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- Linear Statistical Inference and its Applications
- Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
- Misspecification tests and their uses in econometrics
- On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- The commutation matrix: Some properties and applications
- The Elimination Matrix: Some Lemmas and Applications
- The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals
- The vec-permutation matrix, the vec operator and Kronecker products: a review
- Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
- Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
Cited in
(6)- Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
- Estimation of SEM with GARCH errors
- scientific article; zbMATH DE number 5587074 (Why is no real title available?)
- scientific article; zbMATH DE number 3934230 (Why is no real title available?)
- OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
- On the efficient estimation of simultaneous equations with covariance restrictions
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