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Efficient Estimation With Serial Correlation and Lagged Dependent Variables

Published online by Cambridge University Press:  11 February 2009

Whitney K. Newey
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Econometric Theory , Volume 3 , Issue 1 , February 1987 , pp. 160
Copyright
Copyright © Cambridge University Press 1987

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References

REFERENCES

1. Amemiya, T. Advanced Econometrics. Cambridge, U.S.: Harvard University Press, 1985.Google Scholar
2. Hatanaka, M. An efficient two-step estimator for the dynamic adjustment model with autoregressive errors. Journal of Econometrics 2 (1974): 199–220.CrossRefGoogle Scholar