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Generalized Least Squares with an Estimated Autocovariance Matrix

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  • Amemiya, Takeshi

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  • Amemiya, Takeshi, 1973. "Generalized Least Squares with an Estimated Autocovariance Matrix," Econometrica, Econometric Society, vol. 41(4), pages 723-732, July.
  • Handle: RePEc:ecm:emetrp:v:41:y:1973:i:4:p:723-32
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    References listed on IDEAS

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    1. Jacobsen, Ben & Potters, Jan & Schram, Arthur & van Winden, Frans & Wit, Jorgen, 2000. "(In)accuracy of a European political stock market: The influence of common value structures," European Economic Review, Elsevier, pages 205-230.
    2. Ball, Sheryl B. & Bazerman, Max H. & Carroll, John S., 1991. "An evaluation of learning in the bilateral winner's curse," Organizational Behavior and Human Decision Processes, Elsevier, pages 1-22.
    3. Robert Forsythe & R. Mark Isaac & Thomas R. Palfrey, 1989. "Theories and Tests of "Blind Bidding" in Sealed-Bid Auctions," RAND Journal of Economics, The RAND Corporation, pages 214-238.
    4. Dyer, Douglas & Kagel, John H & Levin, Dan, 1989. "A Comparison of Naive and Experienced Bidders in Common Value Offer Auctions: A Laboratory Analysis," Economic Journal, Royal Economic Society, vol. 99(394), pages 108-115, March.
    5. Eddie Dekel & Michele Piccione, 2000. "Sequential Voting Procedures in Symmetric Binary Elections," Journal of Political Economy, University of Chicago Press, pages 34-55.
    6. Timothy Feddersen & Wolfgang Pesendorfer, 1997. "Voting Behavior and Information Aggregation in Elections with Private Information," Econometrica, Econometric Society, pages 1029-1058.
    7. Menezes, F.M. & Monteiro, P.K. & Temini, A., 1998. "Discrete Public Goods With Incomplete Information," Papers 348, Australian National University - Department of Economics.
    8. Kyle Bagwell & Robert Staiger, 1997. "Collusion Over the Business Cycle," RAND Journal of Economics, The RAND Corporation, vol. 28(1), pages 82-106, Spring.
    9. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    10. Timothy Feddersen & Wolfgang Pesendorfer, 1997. "Voting Behavior and Information Aggregation in Elections with Private Information," Econometrica, Econometric Society, pages 1029-1058.
    11. Potters, J.J.M. & Wit, J., 1996. "Bets and Bids : Favorite-Longshot Bias and Winner's Curse," Discussion Paper 1996-04, Tilburg University, Center for Economic Research.
    12. Eddie Dekel & Michele Piccione, 1997. "On the Equivalence of Simultaneous and Sequential Binary Elections," Discussion Papers 1206, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    13. Christopher Avery & John H. Kagel, 1997. "Second-Price Auctions with Asymmetric Payoffs: An Experimental Investigation," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 6(3), pages 573-603, September.
    14. Jacobsen, Ben & Potters, Jan & Schram, Arthur & van Winden, Frans & Wit, Jorgen, 2000. "(In)accuracy of a European political stock market: The influence of common value structures," European Economic Review, Elsevier, pages 205-230.
    15. Feddersen, Timothy J & Pesendorfer, Wolfgang, 1996. "The Swing Voter's Curse," American Economic Review, American Economic Association, pages 408-424.
    16. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, pages 227-286.
    17. repec:cup:apsrev:v:92:y:1998:i:01:p:23-35_20 is not listed on IDEAS
    18. Garvin, Susan & Kagel, John H., 1994. "Learning in common value auctions: Some initial observations," Journal of Economic Behavior & Organization, Elsevier, pages 351-372.
    19. Levin, Dan & Kagel, John H & Richard, Jean-Francois, 1996. "Revenue Effects and Information Processing in English Common Value Auctions," American Economic Review, American Economic Association, pages 442-460.
    20. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 13(3), pages 227-86, July.
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    Citations

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    Cited by:

    1. Hakkio, Craig S, 1981. "Expectations and the Forward Exchange Rate," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 663-678, October.
    2. Binder, Michael & Hsiao, Cheng & Pesaran, M. Hashem, 2005. "Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration," Econometric Theory, Cambridge University Press, pages 795-837.
    3. McNulty, Mark S., 1985. "Information usage in the formation of price expectations: theory and econometric tests," ISU General Staff Papers 1985010108000013085, Iowa State University, Department of Economics.
    4. Choudhury, Askar H. & Power, Simon, 1995. "A new approximate GLS estimator for the linear regression model with ARMA(p, q) disturbances," Economics Letters, Elsevier, pages 119-127.
    5. Andrews, Donald W K, 1986. "A Note on the Unbiasedness of Feasible GLS, Quasi-maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model," Econometrica, Econometric Society, vol. 54(3), pages 687-698, May.
    6. Durlauf, Steven N & Phillips, Peter C B, 1988. "Trends versus Random Walks in Time Series Analysis," Econometrica, Econometric Society, pages 1333-1354.
    7. Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, pages 235-287.
    8. George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
    9. Richard T. Baillie & Kun Ho Kim, 2016. "Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches," Working Paper series 16-04, Rimini Centre for Economic Analysis.
    10. David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004.
    11. Palm, Franz & Zellner, Arnold, 1981. "Large sample estimation and testing procedures for dynamic equation systems," Journal of Econometrics, Elsevier, pages 131-138.
    12. J. Fernández & W. Manteiga, 2001. "Generalized minimum distance estimators of a linear model with correlated errors," Statistical Papers, Springer, pages 353-373.
    13. Richard Meese, 1978. "Distributed lag order determination," International Finance Discussion Papers 126, Board of Governors of the Federal Reserve System (U.S.).

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