The General Linear Model (GLM) is the parent model of econometrics. Simultaneous equations and seemingly unrelated regression equation (SURE) models, to name but a few, can be formulated as a GLM. The estimation of the GLM can be viewed as a Generalized Linear Least-Squares problem (GLLSP). The...

Vector Autoregressive processes of order p (VAR(p)) with coefficient restrictions can be formulated as a SURE model. The response vectors and the coefficient matrices of the regression equations comprise columns from a Toeplitz matrix. Numerical and computational methods that solve the SURE...

The purpose of this paper is to compare the use of quasi-Monte Carlo methods, in particular the so--called $(t,m,s)-nets$ technique, versus classical Monte Carlo approaches for the simulation of econometric time series models. Some theoretic results indicate the superiority of quasi-Monte Carlo...