Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix

DOI10.1007/S10463-015-0512-2MaRDI QIDQ312583zbMATH OpenOpenAlexFDO

Authors Hiroshi Kurata, Shun Matsuura

Publication date 16 September 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-015-0512-2

zbMATH Keywords

equivariant estimatormaximal invariantgeneralized least squares estimatorgroup invarianceseemingly unrelated regression model

Mathematics Subject Classification ID

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

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• A Nonlinear Version of the Gauss-Markov Theorem
• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Bayesian variable selection for the seemingly unrelated regression models with a large number of predictors
• Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model
• Efficient estimation of two seemingly unrelated regression equations
• Efficient improved estimation of the parameters in two seemingly unrelated regression models
• Equivariant estimation in a model with an ancillary statistic
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• Generalized Least Squares
• Group Invariance in Statistical Inference
• Least upper bound for the covariance matrix of a generalized least squares estimator in regression with applications to a seemingly unrelated regression model and a heteroscedastic model
• On the efficiencies of several generalized least squares estimators in a seemingly unrelated regression model and a heteroscedastic model

Cited in

(8)

• Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
• Best equivariant estimation in curved covariance models
• High-correlated residuals improved estimation in the high-dimensional SUR model
• Best linear unbiased predictors and estimators under a pair of constrained seemingly unrelated regression models
• Comparison of covariance matrices of predictors in seemingly unrelated regression models
• Empirical likelihood for panel data models with spatial errors
• Establishing equalities of OLSEs and BLUEs under seemingly unrelated regression models
• Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss

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