Seemingly unrelated regression on the autoregressive (Ar(p)) singular equation system

DOI10.1080/07474939508800304zbMATH Open0832.62102OpenAlexW2092102624MaRDI QIDQ4853089FDOQ4853089

Authors: Byung-Joo Lee 

Publication date: 3 December 1995

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800304

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zbMATH Keywords

generalized least squares estimationinvariance propertyautoregressive error processestimation of seemingly unrelated regressionssingular equation systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
• On estimation of an econometric model of short-run bank behaviour

Cited In (3)

• Autocorrelation specification in singular equation systems
• Generalized adding-up in systems of regression equations
• A novel approach for estimating seemingly unrelated regressions with high-order autoregressive disturbances

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