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 (9)

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

Cites Work

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• Investment Demand: An Empirical Contribution to the Aggregation Problem
• Modified signed log likelihood ratio
• Saddle point approximation for the distribution of the sum of independent random variables
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A simple general formula for tail probabilities for frequentist and Bayesian inference
• Regression Analysis, Nonlinear or Nonnormal: Simple and Accurate p Values From Likelihood Analysis
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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