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

DOI10.1007/S10463-015-0512-2zbMATH Open1400.62144OpenAlexW2080345960MaRDI QIDQ312583FDOQ312583

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

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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)

Cites Work

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• Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model
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• Efficient improved estimation of the parameters in two seemingly unrelated regression models

Cited In (8)

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

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