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Efficient estimation and inference in cointegrating regressions with structural change

✍ Scribed by Eiji Kurozumi; Yoichi Arai


Book ID
111040018
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
771 KB
Volume
28
Category
Article
ISSN
0143-9782

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πŸ“œ SIMILAR VOLUMES


Efficient estimates in linear and nonlin
✍ Anton Schick πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 675 KB

In this paper we consider the heteroscedastic regression model defined by the structural relation Y = r(V, [:t)+ s(W)c, where V is a p-dimensional random vector, W is a q-dimensional random vector, fi is an unknown vector in some open subset ~ of N", t-is a known function from R p Γ— .~ into R, s is