[R] Panel methods, implied var/cov structure
Tobias Muhlhofer
t.muhlhofer at lse.ac.uk
Tue Jan 18 18:06:37 CET 2005
Hi!
I have a (fairly narrow and long) panel dataset of returns across three
portfolios over 100-odd time-series observations. I have reason to
believe that there is heteroskedasticity in the error terms, but that
this heteroskedasticity is only through time, i.e. that the three
portfolios have the same underlying covariance structure over time,
which of course is unknown to me and about which I do not want to make
assumptions as to functional form.
Greene says there are GLS methods to handle this type of situation. What
R functions am I looking for?
Is there another way of estimating this? Perhaps SUR, or something like
that?
Thanks,
Tobias
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