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Estimating seemingly unrelated regression models with vector autoregressive disturbances

  • Foschi, Paolo
  • Kontoghiorghes, Erricos J.

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File URL: http://www.sciencedirect.com/science/article/B6V85-47HK95G-1/2/35f3027eade5fb04a02d58f773d8be28
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2003)
Issue (Month): 1 (October)
Pages: 27-44

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Handle: RePEc:eee:dyncon:v:28:y:2003:i:1:p:27-44
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Paolo Foschi & Erricos J. Kontoghiorghes, 2003. "Estimation of VAR Models: Computational Aspects," Computational Economics, Society for Computational Economics, vol. 21(1_2), pages 3-22, 02.
  2. Erricos J. Kontoghiorghes, . "Computing 3SLS Solutions of Simultaneous Equation Models with Possible Singular Variance-Covariance Matrix," Computing in Economics and Finance 1996 _032, Society for Computational Economics.
  3. 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.
  4. Kontoghiorghes, Erricos J, 2000. "Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints," Computational Economics, Society for Computational Economics, vol. 15(1-2), pages 89-106, April.
  5. Turkington, Darrell, 2000. "Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances," Journal of Econometrics, Elsevier, vol. 99(2), pages 225-253, December.
  6. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
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