Transforming the error-components model for estimation with general ARMA disturbances

DOI10.1016/0304-4076(94)01621-6MaRDI QIDQ1347109zbMATH OpenOpenAlexFDO

Authors John W. Galbraith, Victoria Zinde-Walsh

Publication date 8 November 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01621-6

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3938400 (Why is no real title available?)
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Testing for Autocorrelation in Dynamic Random Effects Models

Cited in

(2)

• Testing for heteroskedasticity and serial correlation in a random effects panel data model
• Homogeneity tests for one-way models with dependent errors under correlated groups

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