SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 53 (1996)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
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- Donald W.K. Andrews & Christopher J. Monahan, 1990.
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- Newey, W.K. & West, K.D., 1992.
"Automatic Lag Selection in Covariance Matrix Estimation,"
9220, Wisconsin Madison - Social Systems.
- Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Berndt, Ernst R & Wood, David O, 1975. "Technology, Prices, and the Derived Demand for Energy," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 259-68, August.
- Chavas, Jean-Paul & Segerson, Kathleen, 1987. "Stochastic specification and estimation of share equation systems," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 337-358, July.
- Mandy, David M. & Martins-Filho, Carlos, 1993. "Seemingly unrelated regressions under additive heteroscedasticity : Theory and share equation applications," Journal of Econometrics, Elsevier, vol. 58(3), pages 315-346, August.
- Cragg, John G., 1992. "Quasi-Aitken estimation for heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 179-201.
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