Estimating seemingly unrelated regression models with vector autoregressive disturbances

Journal of Economic Dynamics and Control

Volumn 28, Issue 1, 2003, Pages 27-44

  Foschi, Paolo ^a   Kontoghiorghes, Erricos J ^a  

^a UNIVERSITY OF NEUCHÂTEL   (Switzerland)

Author keywords

Generalized QR decomposition; Least squares; SUR models; VAR processes; Variance covariance matrix

Indexed keywords

EID: 0037634182     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00105-7     Document Type: Article

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