Estimation and Inference for Heteroscedastic Systems of Equations

DOI10.2307/2648786zbMath0538.62098OpenAlexW1998826973MaRDI QIDQ3324904

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

heteroscedasticitysimulationsseemingly unrelated regressionparameter restrictionsrobust parameter covariance matrices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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The Use of Multivariate Generated Regressors in the Presence of Heteroskedasticity ⋮ Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications

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