PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions
AbstractUses a multivariate Hannan's Efficient Estimator to estimate a set of linear equations with stationary errors and tests linear restrictions on the parameter matrix. Phillips(1991), "Error Correction and Long Run Equilibria in Continuous Time." Econometrica, Vol. 59, 967-980. Hall and Trevor(1992), "Long Run Equilibrium Estimation And Inference: A Non-Parametric Application." In P.C.B. Phillips (ed), Models, Methods and Applications of Econometrics: Essays in Honour of A.R. Bergstrom. Basil Blackwell.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00158.
Programming language: RATS
Requires: RATS 5.10
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Other versions of this item:
- Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, Econometric Society, vol. 59(4), pages 967-80, July.
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