An Error-Components Procedure (ECP) for Introducing Prior Information about Covariance Matrices and Analysis of Multivariate Regression Models

DOI10.2307/2526266MaRDI QIDQ3868620zbMATH OpenOpenAlexFDO

Authors Arnold Zellner

Publication date 1979

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526266

zbMATH Keywords

covariance matriceserror-components proceduregeneralized least squares estimatormultivariate regression modelsprior informationseemingly unrelated regression

Mathematics Subject Classification ID

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

Cited in

(2)

• Estimation of common coefficients in two regression equations
• Seemingly unrelated nonparametric models with positive correlation and constrained error variances

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