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TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS

โœ Scribed by Timm, Neil H.; Al-Subaihi, Ali A.


Book ID
126780004
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
155 KB
Volume
30
Category
Article
ISSN
0361-0926

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The numerical solution of seemingly unrelated regression (SUR) models with vector autoregressive disturbances is considered. Initially, an orthogonal transformation is applied to reduce the model to one with smaller dimensions. The transformed model is expressed as a reduced-size SUR model with stoc