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PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language RATS Abstract
Uses a multivariate Hannan's Efficient Estimator to estimate a set of linear equations with stationary errors and tests linear restrictions on the parameter matrix. Phillips(1991), "Error Correction and Long Run Equilibria in Continuous Time." Econometrica, Vol. 59, 967-980. Hall and Trevor(1992), "Long Run Equilibrium Estimation And Inference: A Non-Parametric Application." In P.C.B. Phillips (ed), Models, Methods and Applications of Econometrics: Essays in Honour of A.R. Bergstrom. Basil Blackwell.

Suggested Citation

  • Tom Doan, "undated". "PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions," Statistical Software Components RTS00158, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00158
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