Highly accurate likelihood analysis for the seemingly unrelated regression problem

DOI10.1016/j.jeconom.2004.06.001zbMath1336.62140MaRDI QIDQ262792

Marie Rekkas, Donald A. S. Fraser, Augustine C. M. Wong

Publication date: 30 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.06.001

zbMATH Keywords

likelihood; asymptotics; conditioning; \(p\)-value; SUR

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

62J02: General nonlinear regression

Related Items

High-correlated residuals improved estimation in the high-dimensional SUR model, D. A. S. Fraser: From structural inference to asymptotics, A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model, Using mixtures in seemingly unrelated linear regression models with non-normal errors, Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models, Bayesian inference for the correlation coefficient in two seemingly unrelated regressions, Improved inference for moving average disturbances in nonlinear regression models, Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models, Third-order likelihood-based inference for the log-normal regression model

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