A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors

Authors
Moon, HR
Citation
Hr. Moon, A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors, ECON LETT, 65(1), 1999, pp. 25-31
Citations number
7
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
65
Issue
1
Year of publication
1999
Pages
25 - 31
Database
ISI
SICI code
0165-1765(199910)65:1<25:ANOFEO>2.0.ZU;2-9
Abstract
We show how to apply the fully-modified estimation method in the integrated seemingly unrelated regressions model. Three different fully-modified esti mators are studied and their asymptotic distributions are found. (C) 1999 E lsevier Science S.A. All rights reserved.