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Estimating seemingly unrelated regression models with vector autoregressive disturbances

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  • Foschi, Paolo
  • Kontoghiorghes, Erricos J.

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  • Foschi, Paolo & Kontoghiorghes, Erricos J., 2003. "Estimating seemingly unrelated regression models with vector autoregressive disturbances," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 27-44, October.
  • Handle: RePEc:eee:dyncon:v:28:y:2003:i:1:p:27-44
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    References listed on IDEAS

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    1. Kontoghiorghes, Erricos J & Dinenis, Elias, 1997. "Computing 3SLS Solutions of Simultaneous Equation Models with a Possible Singular Variance-Covariance Matrix," Computational Economics, Springer;Society for Computational Economics, vol. 10(3), pages 231-250, August.
    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. Kontoghiorghes, Erricos J, 2000. "Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints," Computational Economics, Springer;Society for Computational Economics, vol. 15(1-2), pages 89-106, April.
    4. Paolo Foschi & Erricos J. Kontoghiorghes, 2003. "Estimation of VAR Models: Computational Aspects," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 3-22, February.
    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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    Cited by:

    1. 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.
    2. Lee, Dae-Seob & Kennedy, P. Lynn & Fletcher, Stanley M., 2006. "An Analysis of Latin American Peanut Trade," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 38(01), April.

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