On the efficiencies of several generalized least squares estimators in a seemingly unrelated regression model and a heteroscedastic model
DOI10.1006/JMVA.1999.1817zbMATH Open0951.62053OpenAlexW2038246017MaRDI QIDQ1301593FDOQ1301593
Authors: Hiroshi Kurata 
Publication date: 20 December 1999
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmva.1999.1817
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Cited In (20)
- Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
- Efficient estimation of seemingly unrelated additive nonparametric regression models
- A note on an upper bound for the covariance matrix of a generalized least squares estimator in a heteroscedastic model.
- Statistical inference on seemingly unrelated varying coefficient partially linear models
- Efficient estimation of varying coefficient seemly unrelated regression model
- Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
- One-sided tests for independence of seemingly unrelated regression equations
- A theorem on the covariance matrix of a generalized least squares estimator under an elliptically symmetric error
- Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix
- Two-stage estimation for seemingly unrelated nonparametric regression models
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss
- Statistical inference on seemingly unrelated non-parametric regression models with serially correlated errors
- Using mixtures in seemingly unrelated linear regression models with non-normal errors
- Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity
- Seemingly unrelated nonparametric models with positive correlation and constrained error variances
- A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
- Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances
- Statistical inference on seemingly unrelated single-index regression models
- Asymptotic theory in fixed effects panel data seemingly unrelated partially linear regression models
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