Some finite sample properties of Zellner estimator in the context of \(m\) seemingly unrelated regression equations

DOI10.1016/S0378-3758(00)00083-5zbMath0954.62082MaRDI QIDQ1580004

Rong-Bing Huang, Dao-de Gao

Publication date: 18 February 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

efficiency; least squares; Gauss-Markov estimator; seemingly unrelated regression; two-stage estimator; best linear unbiased estimators

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

Related Items

Two-Stage Estimators of Seemingly Unrelated Regressions with Elliptical Distribution, On estimating regression coefficients in seemingly unrelated regression system, On efficient estimators of two seemingly unrelated regressions, MSE superiority of Bayes and empirical Bayes estimators in two generalized seemingly unrelated regressions

Cites Work

• The commutation matrix: Some properties and applications
• How much do Gauss-Markov and least square estimates differ, A coordinate- free approach
• The efficiency of least squares estimators of a seemingly unrelated regression model
• The inefficiency of least squares
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias