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

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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 languageEnglish
Pages (from-to)25-31
Number of pages7
JournalEconomics Letters
Volume65
Issue number1
Publication statusPublished - 1999 Oct 1

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All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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