Some Asymptotic Properties of Ridge Regression in a System of Seemingly Unrelated Regression Equations

DOI10.1080/03610920801931853MaRDI QIDQ3526091zbMATH OpenOpenAlexFDO

Authors Luis Firinguetti, Hernán Rubio

Publication date 24 September 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920801931853

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• Optimality of least squares in the seemingly unrelated regression equation model
• Ridge regression in the context of a system of seemingly unrelated regression equations
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
• Sufficient Linear Structures: Econometric Applications
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• The efficiency of least squares estimators of a seemingly unrelated regression model

Cited in

(5)

• A Monte Carlo study on the ridge parameter of the seemingly unrelated ridge regression models
• On seemingly unrelated regressions with uniform correlation error
• Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion
• Seemingly unrelated regressions with covariance matrix of cross-equation ridge regression residuals
• Two-parameter ridge estimation in seemingly unrelated regression models

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