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Estimating seemingly unrelated regressions with first order autoregressive disturbances
In Seemingly Unrelated Regressions (SUR) model, disturbances are assumed to be correlated across equations and it will be erroneous to assume that disturbances behave independently, hence, the need for an efficient estimator. Literature has revealed gain in efficiencyof the SUR estimator over the Or...
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2013-05
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