Highly accurate likelihood analysis for the seemingly unrelated regression problem

DOI10.1016/j.jeconom.2004.06.001zbMath1336.62140OpenAlexW1992055487MaRDI QIDQ262792

Marie Rekkas, Donald A. S. Fraser, Augustine C. M. Wong

Publication date: 30 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.06.001

zbMATH Keywords

likelihoodasymptoticsconditioning\(p\)-valueSUR

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) General nonlinear regression (62J02)

Related Items

Using mixtures in seemingly unrelated linear regression models with non-normal errors, High-correlated residuals improved estimation in the high-dimensional SUR model, Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models, D. A. S. Fraser: From structural inference to asymptotics, Third-order likelihood-based inference for the log-normal regression model, Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models, Bayesian inference for the correlation coefficient in two seemingly unrelated regressions, Improved inference for moving average disturbances in nonlinear regression models, A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model

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