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

DOI10.1016/J.SPL.2007.05.008MaRDI QIDQ2476818zbMATH OpenOpenAlexFDO

Authors 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

Bayes methodcovariance adjusted approachmean square error criterionseemingly unrelated regressions

Mathematics Subject Classification ID

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

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Cites work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• Further Evidence on the Relative Efficiencies of Zellner's Seemingly Unrelated Regressions Estimator
• scientific article; zbMATH DE number 3812757 (Why is no real title available?)
• scientific article; zbMATH DE number 4058672 (Why is no real title available?)
• scientific article; zbMATH DE number 3301943 (Why is no real title available?)
• 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

Cited in

(3)

• On estimating regression coefficients in seemingly unrelated regression system
• On efficient estimators of two seemingly unrelated regressions
• Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations

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