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Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances

Srivastava, Virendra K. - In: Journal of econometrics 66 (1995) 1/2, pp. 99-121

Persistent link: https://www.econbiz.de/10001174122

Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors

He, Zonglu; Maekawa, Koichi; Mcaleer, Michael - In: The Japanese economic review : the journal of the … 54 (2003) 4, pp. 420-438

Persistent link: https://www.econbiz.de/10007653504

The CUSUM of squares test for the stability of regression models with non-stationary regressors

Lu, Xinhong; Maekawa, Koichi; Lee, Sangyeol - In: Economics letters 100 (2008) 2, pp. 234-237

Persistent link: https://www.econbiz.de/10008071340

The CUSUM of squares test for the stability of regression models with non-stationary regressors

Lu, Xinhong; Maekawa, Koichi; Lee, Sangyeol - In: Economics letters 100 (2008) 2, pp. 234-238

Persistent link: https://www.econbiz.de/10008883899

SUR models with integrated regressors

Maekawa, Koichi; Hisamatsu, Hiroyuki - In: Handbook of applied econometrics and statistical inference, (pp. 469-490). 2002

Persistent link: https://www.econbiz.de/10001701991

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Persistent link: https://www.econbiz.de/10001644304