First-order serial correlation in seemingly unrelated regressions

Bertrand Koebel

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Abstract: This note shows that the positive definiteness of the variance matrix of seemingly unrelated residuals with first order serial correlation implies that the roots of the serial correlation matrix have a modulus smaller than 1.

Keywords: System of regressions; Panel data (search for similar items in EconPapers)
Date: 2004
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Published in Economics Letters, 2004, 82 (1), pp.1-7. ⟨10.1016/j.ecolet.2003.10.001⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03336124

DOI: 10.1016/j.ecolet.2003.10.001

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