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

DOI10.2307/2526266zbMath0431.62037OpenAlexW2009831835MaRDI QIDQ3868620

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

prior informationcovariance matricesseemingly unrelated regressiongeneralized least squares estimatormultivariate regression modelserror-components procedure

Mathematics Subject Classification ID

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

Related Items (2)

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

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