MSE superiority of Bayes and empirical Bayes estimators in two generalized seemingly unrelated regressions

DOI10.1016/J.SPL.2007.05.008zbMath1290.62050OpenAlexW2019685628MaRDI QIDQ2476818

Li-chun Wang, Noël Veraverbeke

Publication date: 12 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1942/8004

zbMATH Keywords

seemingly unrelated regressionsBayes methodmean square error criterioncovariance adjusted approach

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (2)

On estimating regression coefficients in seemingly unrelated regression system ⋮ On efficient estimators of two seemingly unrelated regressions

Cites Work

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• MSEM dominance of estimators in two seemingly unrelated regressions
• Some finite sample properties of Zellner estimator in the context of \(m\) seemingly unrelated regression equations
• The efficiency of least squares estimators of a seemingly unrelated regression model
• Further Evidence on the Relative Efficiencies of Zellner's Seemingly Unrelated Regressions Estimator
• 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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