Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors
DC Field | Value | Language |
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dc.contributor.author | Shin, Dong Wan | - |
dc.contributor.author | Kim, Han Joon | - |
dc.contributor.author | Jhee, Won-Chul | - |
dc.date.accessioned | 2022-01-14T07:43:46Z | - |
dc.date.available | 2022-01-14T07:43:46Z | - |
dc.date.created | 2022-01-14 | - |
dc.date.issued | 2007-01-01 | - |
dc.identifier.issn | 0167-7152 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/23648 | - |
dc.description.abstract | For seemingly unrelated regression (SUR) models with integrated regressors, two sufficient conditions are identified, under which the ordinary least-squares estimator (OLSE) is asymptotically efficient. The first condition is that every pair of regressor processes are cointegrated in a specific way that one regressor is a linear combination of the other regressor up to a zero-mean stationary error and the second condition is that, for every pair of regressor processes, the pair of error processes deriving the regressor processes have zero long-run covariance. (c) 2006 Elsevier B.V: All rights reserved. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | SEEMINGLY UNRELATED REGRESSIONS | - |
dc.subject | VARIABLES | - |
dc.subject | GLS | - |
dc.subject | OLS | - |
dc.title | Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Jhee, Won-Chul | - |
dc.identifier.doi | 10.1016/j.spl.2006.05.024 | - |
dc.identifier.scopusid | 2-s2.0-33750502052 | - |
dc.identifier.wosid | 000244074400010 | - |
dc.identifier.bibliographicCitation | STATISTICS & PROBABILITY LETTERS, v.77, no.1, pp.75 - 82 | - |
dc.relation.isPartOf | STATISTICS & PROBABILITY LETTERS | - |
dc.citation.title | STATISTICS & PROBABILITY LETTERS | - |
dc.citation.volume | 77 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 75 | - |
dc.citation.endPage | 82 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | SEEMINGLY UNRELATED REGRESSIONS | - |
dc.subject.keywordPlus | VARIABLES | - |
dc.subject.keywordPlus | GLS | - |
dc.subject.keywordPlus | OLS | - |
dc.subject.keywordAuthor | cointegration | - |
dc.subject.keywordAuthor | efficiency | - |
dc.subject.keywordAuthor | generalized least-squares estimator | - |
dc.subject.keywordAuthor | long-run covariance | - |
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