Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors

zbMATH Open0626.62053MaRDI QIDQ580852FDOQ580852

Authors: U. L. Gouranga Rao 

Publication date: 1986

Published in: Metron (Search for Journal in Brave)

Recommendations

• Generalized least squares transformation with the second-order autoregressive error
• Limited information estimator of a dynamic structural equation with autocorrelated arrors: a correction and new evidence
• On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances
• Amemiya‘s generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables
• Generalized least squares with misspecified serial correlation structures

zbMATH Keywords

simultaneous equations modelsasymptotically efficientconsistentCochran-Orcutt type estimatorfirst order autocorrelated errorsfull information estimatorgeneralized least squares estimatorsiterative procedureslimited information estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cited In (8)

• Estimation of simultaneous equation models with error components structure
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Amemiya‘s generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables
• Generalized least squares transformation and estimation with autoregressive error
• Generalized least squares transformation with the second-order autoregressive error
• Ordinary least squares estimation of simultaneous equation systems with trended data: further results
• Title not available (Why is that?)
• On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

This page was built for publication: Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q580852)