On the efficiencies of several generalized least squares estimators in a seemingly unrelated regression model and a heteroscedastic model

DOI10.1006/JMVA.1999.1817MaRDI QIDQ1301593zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

covariance matricesheteroscedastic modelseemingly unrelated regression modelelliptically symmetric distributionsgeneralized least squares estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cited in

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• 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.
• Efficient estimation of varying coefficient seemly unrelated regression model
• Statistical inference on seemingly unrelated varying coefficient partially linear models
• 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
• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
• Seemingly unrelated nonparametric models with positive correlation and constrained error variances
• 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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