Chapter

Models with Nonscalar Covariance Matrix of Errors

Aman Ullah

in Finite Sample Econometrics

Published in print May 2004 | ISBN: 9780198774471
Published online August 2004 | e-ISBN: 9780191601347 | DOI: http://dx.doi.org/10.1093/0198774478.003.0005

Series: Advanced Texts in Econometrics

 Models with Nonscalar Covariance Matrix of Errors

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This chapter examines regression models with nonscalar covariance matrix of errors. This includes the estimators and test statistics in the context of linear regression with heteroskedasticity and serial correlation, seemingly unrelated regressions, limited dependent variables, and panel data models.

Keywords: econometric models; nonscalar covariance matrix of errors; linear regression model

Chapter.  15517 words. 

Subjects: Econometrics and Mathematical Economics

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