An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator

DOI10.1016/0304-4076(77)90012-4zbMath0363.62086OpenAlexW2051530773MaRDI QIDQ1240513

Peter C. B. Phillips

Publication date: 1977

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

Full work available at URL: https://doi.org/10.1016/0304-4076(77)90012-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (9)

Some overall properties of seemingly unrelated regression models ⋮ Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances ⋮ SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ The approximate distribution function of the Stein-rule estimator ⋮ New evidence on the small properties of estimators of SUR models with autocorrelated disturbances ⋮ Second order approximation in a linear regression with heteroskedasticity of unknown form ⋮ Dynamic panel estimation and homogeneity testing under cross section dependence ⋮ A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Cites Work

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• Econometric Estimators and the Edgeworth Approximation
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• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• A General Approximation to the Distribution of Instrumental Variables Estimates
• Generalized Least Squares with an Estimated Variance Covariance Matrix
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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