A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
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Publication:1960671
DOI10.1016/S0165-1765(99)00129-9zbMath1051.62524OpenAlexW2000020300WikidataQ127389309 ScholiaQ127389309MaRDI QIDQ1960671
Publication date: 12 January 2000
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00129-9
Related Items (10)
Seemingly Unrelated Ridge Regression in Semiparametric Models ⋮ Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors ⋮ Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions ⋮ LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE ⋮ Preliminary test estimation in system regression models in view of asymmetry ⋮ Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity ⋮ Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions ⋮ Fully modified estimation with cross-equation restrictions. ⋮ Feasible Ridge Estimator in Seemingly Unrelated Semiparametric Models ⋮ Shrinkage estimation in system regression model
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Asymptotics for linear processes
- Testing the stationarity of interest rates using a SUR approach
- Optimal Inference in Cointegrated Systems
- Fully Modified Least Squares and Vector Autoregression
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