Dama, Marcel die; Epo, Boniface ngah; Soh, Galex syrie - In: Economics Bulletin 33 (2013) 1, pp. 625-634
This paper provides an estimation method for a two way error component regression model where the time-varying disturbances are serially correlated, following a special AR (4) process for quarterly data. The variance-covariance matrix of the compound error terms and its spectral decomposition...