Preliminary test estimation in system regression models in view of asymmetry

DOI10.1007/s00180-018-0794-yzbMath1417.62201MaRDI QIDQ1729320

Xianqiang Yang

Publication date: 27 February 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-018-0794-y

zbMATH Keywords

seemingly unrelated regression model; preliminary test estimator; asymmetric loss; BLINEX loss; feasible estimator; system regression model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

Uses Software

• bayesm