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Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process

  • Gatu, Cristian
  • Kontoghiorghes, Erricos J.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 30 (2006)
Issue (Month): 5 (May)
Pages: 721-739

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Handle: RePEc:eee:dyncon:v:30:y:2006:i:5:p:721-739
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  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. Cristian Gatu & Erricos Kontoghiorghes, 2005. "Efficient strategies for deriving the subset VAR models," Computational Management Science, Springer, vol. 4(4), pages 253-278, November.
  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. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
  5. Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
  6. Maringer, Dietmar G., 2004. "Finding the relevant risk factors for asset pricing," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 339-352, September.
  7. Paolo Foschi & Erricos Kontoghiorghes, 2003. "Estimation of VAR Models Computational Aspects," Computational Economics, Society for Computational Economics, vol. 21(1), pages 3-22, February.
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