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

Hyungsik R. Moon

doi:10.1016/s0165-1765(99)00129-9

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

Hyungsik R. Moon

Department of Economics

Research output: Contribution to journal › Article › peer-review

22 Citations (Scopus)

Abstract

We show how to apply the fully-modified estimation method in the integrated seemingly unrelated regressions model. Three different fully-modified estimators are studied and their asymptotic distributions are found.

Original language	English
Pages (from-to)	25-31
Number of pages	7
Journal	Economics Letters
Volume	65
Issue number	1
DOIs	https://doi.org/10.1016/s0165-1765(99)00129-9
Publication status	Published - 1999 Oct

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/s0165-1765(99)00129-9

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

Abstract

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