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An algorithm to estimate time-varying parameter SURE models under different types of restriction

  • Orbe, Susan
  • Ferreira, Eva
  • Rodriguez-Poo, Juan

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File URL: http://www.sciencedirect.com/science/article/B6V8V-472JRC1-2C/2/7cdb7e0c0bf41a3d572e84f070ef2d54
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 42 (2003)
Issue (Month): 3 (March)
Pages: 363-383

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Handle: RePEc:eee:csdana:v:42:y:2003:i:3:p:363-383
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January.
  2. Kontoghiorghes, E. J. & Clarke, M. R. B., 1995. "An alternative approach for the numerical solution of seemingly unrelated regression equations models," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 369-377, April.
  3. Doran, Howard E. & Rambaldi, Alicia N., 1997. "Applying linear time-varying constraints to econometric models: With an application to demand systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 83-95, July.
  4. Foschi, Paolo & Kontoghiorghes, Erricos J., 2002. "Seemingly unrelated regression model with unequal size observations: computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 211-229, November.
  5. Smith, M. & Kohn, R., 1998. "Nonparametric Seemingly Unrelated Regression," Monash Econometrics and Business Statistics Working Papers 7/98, Monash University, Department of Econometrics and Business Statistics.
  6. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  7. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005. "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, vol. 126(1), pages 53-77, May.
  8. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
  9. Min, C.K. & Zellner, A., 1992. ""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates"," Papers 90-92-23, California Irvine - School of Social Sciences.
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