Estimation and Inference for Heteroscedastic Systems of Equations
Gregory M. Duncan
University of California, Berkeley - Department of Economics; The Brattle Group
International Economic Review, Vol. 24, No. 3., pp. 559-566, October 1983
A method for estimation of heteroscedastic systems of equations that are more efficient than SUR and produce robust covariance matrices for parameter estimators is developed and applied to the Klein railroad data.
Keywords: Cost models,Systems of Equations, Heteroscedasticity,Railroads, Transportation, Production functions
JEL Classification: C30,C51,D24,L92Accepted Paper Series
Date posted: April 14, 2005
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