The Exact Distribution of the SUR Estimator

DOI10.2307/1912651MaRDI QIDQ3692608zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 1985

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912651

zbMATH Keywords

finite sample distributionlinear parameter restrictionsmatrix fractional calculusmultivariate linear modelnonrandom exogenous variablesnormally distributed errorsseemingly unrelated regression modeltwo-stage generalized least squares estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20)

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Cited in

(11)

• The exact mean squared error of Stein-rule estimator in linear models
• Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
• The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation
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• Peter C. B. Phillips's contributions to panel data methods
• ARMAX lattice algorithm for identification and prediction of dynamic systems
• scientific article; zbMATH DE number 4166376 (Why is no real title available?)
• SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS
• Large system of seemingly unrelated regressions: a penalized quasi-maximum likelihood estimation perspective
• Invariant Polynomials and Related Tests
• Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models

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