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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

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.

Language: RATS
Requires: RATS 5.10
Keywords: Spectral analysis; cointegration; Hannan efficient estimation (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/phillipshannan.src (text/plain)

Related works:
Journal Article: Error Correction and Long-Run Equilibrium in Continuous Time (1991)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00158

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().