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The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models

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  • Kiviet, Jan F.
  • Phillips, Garry D. A.
  • Schipp, Bernhard

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4007D8M-J/2/cff32b5d27a1da1b3495283d80beac3a
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 69 (1995)
Issue (Month): 1 (September)
Pages: 241-266

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Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:241-266

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. 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.
  2. 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.
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Cited by:
  1. Clements, Kenneth W. & Lan, Yihui, 2010. "A new approach to forecasting exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1424-1437, November.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 424-448.

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