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

MaRDI QIDQ580852zbMATH OpenFDO

Authors U. L. Gouranga Rao

Publication date 1986

Published in Metron (Search for Journal in Brave)

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)

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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
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• Ordinary least squares estimation of simultaneous equation systems with trended data: further results
• scientific article; zbMATH DE number 3860260 (Why is no real title available?)
• On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

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