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An aspect of the wald test for linear restrictions in the seemingly unrelated regressions model

โœ Scribed by A.D. Woodland


Book ID
116100045
Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
309 KB
Volume
20
Category
Article
ISSN
0165-1765

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## Abstract A linear regression model with random walk coefficients is extended to allow for linear restrictions between the coefficients to be satisfied at each point in time. Estimation in this model is shown to be no more involved than estimation in the standard model. It is also demonstrated ho