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Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix

Citations

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Cited by:

  1. van der Leeuw, J.L. & Tigelaar, H.H., 1994. "An asymptotic justification for a modified GLS procedure to estimate ARMA parameters," Other publications TiSEM 01f8dc96-8313-4917-b804-2, Tilburg University, School of Economics and Management.
  2. Julie Le Gallo, 2002. "Économétrie spatiale : l'autocorrélation spatiale dans les modèles de régression linéaire," Économie et Prévision, Programme National Persée, vol. 155(4), pages 139-157.
  3. van der Leeuw, J.L. & Tigelaar, H.H., 1994. "An asymptotic justification for a modified GLS procedure to estimate ARMA parameters," Research Memorandum FEW 662, Tilburg University, School of Economics and Management.
  4. Cem Ertur & Thiaw Kalidou, 2005. "Growth and Spatial Dependence - The Mankiw, Romer and Weil model revisited," ERSA conference papers ersa05p660, European Regional Science Association.
  5. Millo, Giovanni, 2014. "Maximum likelihood estimation of spatially and serially correlated panels with random effects," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 914-933.
  6. Jaime Martínez-Martín, 2011. "General equilibrium long-run determinants for Spanish FDI: a spatial panel data approach," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 2(3), pages 305-333, September.
  7. Raats, V.M. & van der Genugten, B.B. & Moors, J.J.A., 2004. "Asymptotics of Multivariate Regression with Consecutively Added Dependent Varibles," Other publications TiSEM ec69ffa7-ec42-4ca3-910b-c, Tilburg University, School of Economics and Management.
  8. Alberto HOLLY & Lucien GARDIOL, 1999. "A Score Test for Individual Heteroscedasticity in a One-way Error Components Model," Cahiers de Recherches Economiques du Département d'économie 9915, Université de Lausanne, Faculté des HEC, Département d’économie.
  9. van der Leeuw, J.L., 1994. "The second derivative of the likelihood of an exact ARMA model," Other publications TiSEM 04f52885-2820-4b2d-b1f0-b, Tilburg University, School of Economics and Management.
  10. repec:ags:ucdegw:233042 is not listed on IDEAS
  11. Groen, J.J.J., 2000. "New multi-country evidence on purchasing power parity: multivariate unit root test results," Econometric Institute Research Papers EI 2000-09/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  12. Antle, John M. & Aitah, Ali S., 1984. "Egypt'S Multiproduct Agricultural Technology And Agricultural Policy," Working Papers 225790, University of California, Davis, Department of Agricultural and Resource Economics.
  13. Shew Fan Liu & Zhenlin Yang, 2015. "Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model," Econometrics, MDPI, vol. 3(2), pages 1-36, May.
  14. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
  15. Bilsborrow, Richard E. & Guilkey, David K., 1987. "Community and institutional influence on fertility: analytical issues," ILO Working Papers 992544533402676, International Labour Organization.
  16. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2006. "Joint LM test for homoskedasticity in a one-way error component model," Journal of Econometrics, Elsevier, vol. 134(2), pages 401-417, October.
  17. Anne-Sophie Krah & Zoran Nikolić & Ralf Korn, 2020. "Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies," Risks, MDPI, vol. 8(1), pages 1-79, February.
  18. Atanu Saha & Arthur Havenner & Hovav Talpaz, 1997. "Stochastic production function estimation: small sample properties of ML versus FGLS," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 459-469.
  19. Banerjee, A.N., 1997. "The sensitivity of estimates, inferences and forecasts of linear models," Other publications TiSEM 3238733e-f996-4fd9-95ec-0, Tilburg University, School of Economics and Management.
  20. Palm, F.C. & Winder, C.C.A., 1986. "The stochastic life cycle consumption model : theoretical results and empirical evidence," Serie Research Memoranda 0016, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  21. Adriaan Kalwij, 2000. "Estimating the economic return to schooling on the basis of panel data," Applied Economics, Taylor & Francis Journals, vol. 32(1), pages 61-71.
  22. Anselin, Luc, 2002. "Under the hood : Issues in the specification and interpretation of spatial regression models," Agricultural Economics, Blackwell, vol. 27(3), pages 247-267, November.
  23. van der Leeuw, J.L., 1994. "The second derivative of the likelihood of an exact ARMA model," Research Memorandum FEW 661, Tilburg University, School of Economics and Management.
  24. Michael J. Daniels & Robert E. Kass, 2001. "Shrinkage Estimators for Covariance Matrices," Biometrics, The International Biometric Society, vol. 57(4), pages 1173-1184, December.
  25. Julie Le Gallo, 2000. "Spatial econometrics (1, Spatial autocorrelation) [Econométrie spatiale (1, Autocorrélation spatiale)]," Working Papers hal-01527290, HAL.
  26. vdr Leeuw, J.L., 1997. "Maximum Likelihood Estimation of Exact ARMA Models," Other publications TiSEM a1cdd9b8-93d9-460c-a0c9-1, Tilburg University, School of Economics and Management.
  27. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
  28. Anne-Sophie Krah & Zoran Nikoli'c & Ralf Korn, 2019. "Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies," Papers 1909.02182, arXiv.org.
  29. repec:ilo:ilowps:254453 is not listed on IDEAS
  30. Shin, Dong Wan & Park, Chul Gyu & Park, Taesung, 2001. "Testing for one-sided group effects in repeated measures study," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 233-247, August.
  31. Jan R. Magnus & Andrey L. Vasnev, 2007. "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 166-192, March.
  32. Raats, V.M. & van der Genugten, B.B. & Moors, J.J.A., 2004. "Asymptotics of Multivariate Regression with Consecutively Added Dependent Varibles," Discussion Paper 2004-77, Tilburg University, Center for Economic Research.
  33. Antle, John M., 1983. "The Structure Of U.S. Agricultural Technology, 1910-1978," Working Papers 225709, University of California, Davis, Department of Agricultural and Resource Economics.
  34. Weaver, Robert D. & Stefanou, Spiro E., 1984. "Toward A Behavioral Approach To Modelling Dynamic Production Choice Structures," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 13(2), pages 1-14, October.
  35. LE GALLO, Julie, 2000. "Econométrie spatiale 1 -Autocorrélation spatiale," LATEC - Document de travail - Economie (1991-2003) 2000-05, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
  36. Andrews, Donald W K, 1986. "A Note on the Unbiasedness of Feasible GLS, Quasi-maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model," Econometrica, Econometric Society, vol. 54(3), pages 687-698, May.
  37. Koning, A.J., 1999. "Goodness of fit for the constancy of a classical statistical model over time," Econometric Institute Research Papers EI 9959-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  38. Chu, Fong-Lin, 2011. "A piecewise linear approach to modeling and forecasting demand for Macau tourism," Tourism Management, Elsevier, vol. 32(6), pages 1414-1420.
  39. François Legendre, 1992. "La distribution des rendements d'échelle dans l'industrie. Une illustration à partir d'un panel de plus de 700 entreprises françaises," Revue Économique, Programme National Persée, vol. 43(1), pages 71-100.
  40. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
  41. Antle, John M. & Aitah, Ali S., 1982. "The Structure of Rice Technology, Farmer Rationality, and Agricultural Policy in Egypt," Working Papers 233042, University of California, Davis, Agricultural Development Systems: Egypt Project.
  42. Michael Basch & Gonzalo García-Huidobro, 1997. "Costo de Capital en Segmentos Industriales: Una Estimación Robusta," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 139-160.
  43. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
  44. A S Brandsma & R H Ketellapper, 1979. "A Biparametric Approach to Spatial Autocorrelation," Environment and Planning A, , vol. 11(1), pages 51-58, January.
  45. Kruiniger, Hugo, 2008. "Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model," Journal of Econometrics, Elsevier, vol. 144(2), pages 447-464, June.
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