The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 69 (1995)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
- Spencer, David E., 1979. "Estimation of a dynamic system of seemingly unrelated regressions with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 10(2), pages 227-241, June.
- Maurice J. G. Bun, 2000.
"Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix,"
Econometric Society World Congress 2000 Contributed Papers
0511, Econometric Society.
- Maurice Bun, 2003. "Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 22(1), pages 29-58.
- Maurice J.G. Bun, 2001. "Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix," Tinbergen Institute Discussion Papers 01-007/4, Tinbergen Institute.
- Jan F. Kiviet & Garry D. A. Phillips, 2000. "Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models," Econometric Society World Congress 2000 Contributed Papers 0631, Econometric Society.
- Kiviet, Jan F. & Phillips, Garry D.A., 2012.
"Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3705-3729.
- Kiviet, J.F. & Phillips, G.D.A., 1999. "Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models," Discussion Papers 9903, Exeter University, Department of Economics.
- Jan F. KIVIET & Garry D.A. PHILLIPS, 2012. "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth centre Working Paper Series 1206, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
- Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part V: The Stationarity of Exchange Rates," Economics Discussion / Working Papers 03-09, The University of Western Australia, Department of Economics.
- Kenneth W Clements & Yihui Lan, 2006.
"A New Approach to Forecasting Exchange Rates,"
Economics Discussion / Working Papers
06-29, The University of Western Australia, Department of Economics.
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