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On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances


  • Doran, H. E.
  • Griffiths, W. E.


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  • Doran, H. E. & Griffiths, W. E., 1983. "On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 23(2), pages 165-191, October.
  • Handle: RePEc:eee:econom:v:23:y:1983:i:2:p:165-191

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    References listed on IDEAS

    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    2. Bowden, Roger J, 1973. "The Theory of Parametric Identification," Econometrica, Econometric Society, vol. 41(6), pages 1069-1074, November.
    3. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-161, January.
    4. Kohn, R., 1978. "Local and global identification and strong consistency in time series models," Journal of Econometrics, Elsevier, vol. 8(3), pages 269-293, December.
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    Cited by:

    1. Banker, Rajiv D. & Chang, Hsihui & Lee, Seok-Young, 2010. "Differential impact of Korean banking system reforms on bank productivity," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1450-1460, July.
    2. Oriana Bandiera & Iwan Barankay & Imran Rasul, 2007. "Incentives for Managers and Inequality among Workers: Evidence from a Firm-Level Experiment," The Quarterly Journal of Economics, Oxford University Press, vol. 122(2), pages 729-773.
    3. Banker, Rajiv D. & Chang, Hsi-Hui & Majumdar, Sumit K., 1998. "Economies of scope in the U.S. telecommunications industry1," Information Economics and Policy, Elsevier, vol. 10(2), pages 253-272, June.
    4. Banker, Rajiv D. & Lee, Seok-Young & Potter, Gordon, 1996. "A field study of the impact of a performance-based incentive plan," Journal of Accounting and Economics, Elsevier, vol. 21(2), pages 195-226, April.

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