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

DOI10.1080/07474939508800304MaRDI QIDQ4853089zbMATH OpenOpenAlexFDO

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

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)

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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)

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

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