scientific article; zbMATH DE number 193897
asymptotic approximation of biasefficiency propertiesexact finite sample propertiesexercisesgeneralized least squaresheteroscedistic structurejoint errorsordinary least squaresprior informationregression equationssample estimateseemingly unrelated regression equationsStein-rule estimatorsSURE specificationvariance-covariance matrixvector autoregression models
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)
This monograph deals with the statistical estimation and inference related to a system of equations that are linked statistically through the jointness of the error terms' distribution. Such systems are called ``seemingly unrelated regression equations (SURE), since the equations are unrelated structurally. A common situation which suggests a SURE specification is where regression equations explaining a certain economic activity in different geographical locations are to be estimated. Consider the linear model \[ y=x\beta +u\quad with\quad E(u)=0,\quad E(uu')=(\Sigma \otimes I_ T)=\Psi. \] On replacing the variance- covariance matrix \(\Sigma\) by a sample estimate S we obtain a feasible generalized least squares (FGLS) estimator of \(\beta\) as \[ b_ F=[x'(S^{-1}\otimes I_ T)x]^{-1}(S^{-1}\otimes I_ T)y. \] Several properties of this FGLS estimator are discussed, viz., asymptotic approximation of bias, some exact finite sample properties and the comparison of its efficiency properties with other estimators like ordinary least squares and Stein-rule estimators. Problems of inference are discussed in relation to vector autoregression models where disturbances follow SURE specification. Different cases of prior information are also analyzed. By providing suitable exercises at the end of each chapter and also simple illustrations, the monograph serves well as an advanced text.
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- Seemingly unrelated regression models.
- Some overall properties of seemingly unrelated regression models
- Publication:4721491
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- On estimating regression coefficients in seemingly unrelated regression system
- Computation of standard errors in seemingly unrelated regression equation models
- Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
- Estimation of the SURE model
- Multiresponse surface models with random block effects.
- Regionalization of unit hydrograph parameters. I: Comparison of regression analysis techniques
- Existence of SURU estimators in SURE model with special covariance structures
- Computational methods for modifying seemingly unrelated regressions models.
- Nonparametric seemingly unrelated regression
- Maximin clusters for nonreplicated multiresponse lack of fit tests
- Some overall properties of seemingly unrelated regression models
- Robust inference for seemingly unrelated regression models
- Preliminary test estimation in system regression models in view of asymmetry
- Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
- Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
- Seemingly unrelated regression model with unequal size observations: Computational aspects
- A computationally efficient method for solving SUR models with orthogonal regressors
- Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
- The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models
- On construction of improved estimators in multiple-design multivariate linear models under general restriction
- Applying estimated score tests in econometrics
- Seemingly unrelated nonparametric models with positive correlation and constrained error variances
- Seemingly unrelated regression models.
- Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss
- Predictions under a system of linear regression models with correlated errors
- On two correlated linear models with common and different parameters
- Comparison of covariance matrices of predictors in seemingly unrelated regression models
- Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
- Multivariate cluster-weighted models based on seemingly unrelated linear regression
- Seemingly unrelated clusterwise linear regression
- A covariance-enhanced approach to multitissue joint eQTL mapping with application to transcriptome-wide association studies
- Some remarks on a pair of seemingly unrelated regression models
- Bayesian variable selection in linear regression models with non-normal errors
- Shrinkage estimation in system regression model
- Computationally efficient methods for estimating the updated-observations SUR models
- Two-stage estimation for seemingly unrelated nonparametric regression models
- Efficient estimation of seemingly unrelated additive nonparametric regression models
- Sparse seemingly unrelated regression modelling: applications in finance and econometrics
- Matrix strategies for computing the least trimmed squares estimation of the general linear and SUR models
- Univariate and multivariate claims reserving with generalized link ratios
- Some remarks on comparison of predictors in seemingly unrelated linear mixed models.
- Simple unbiased estimators for seemingly unrelated regressions with incomplete data
- On estimating regression coefficients in seemingly unrelated regression system
- Asymptotic theory in fixed effects panel data seemingly unrelated partially linear regression models
- A simulation study for SURE estimators with an application in air navigation in Saudi Arabia
- Computation of standard errors in seemingly unrelated regression equation models
- Statistical inference on seemingly unrelated non-parametric regression models with serially correlated errors
- Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix
- Median regression for SUR models with the same explanatory variables in each equation
- Modified Ridge Parameters for Seemingly Unrelated Regression Model
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- Using mixtures in seemingly unrelated linear regression models with non-normal errors
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- GIBBS SAMPLERS FOR A SET OF SEEMINGLY UNRELATED REGRESSIONS
- Unobserved variables. Models and misunderstandings
- Seemingly Unrelated Generalized Linear Models
- Ridge regression in the context of a system of seemingly unrelated regression equations
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- Lattice conditional independence models for seemingly unrelated regressions
- Estimation and inference in sur models when the number of equations is large
- Simulation study of new estimators combining the SUR ridge regression and the restricted least squares methodologies
- Exact Results on the Inadmissibility of the Feasible Generalized Least Squares Estimator in Regression Models with Non-Spherical Disturbances
- Robust estimation of the SUR model
- Improved Liu-type estimator of parameters in two seemingly unrelated regressions
- NEW PARALLEL STRATEGIES FOR BLOCK UPDATING THE QR DECOMPOSITION∗
- SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS
- Seemingly unrelated regression on the autoregressive (Ar(p)) singular equation system
- On ecological regression and ridge estimation
- On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances
- A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
- Seemingly unrelated regressions with covariance matrix of cross-equation ridge regression residuals
- Some finite sample results for a system of seemingly unrelated regression equations
- Cross-Sectional Dependence in Panel Data Analysis
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- Seemingly unrelated systems of econometric equations
- Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations
- Statistical inference on seemingly unrelated single-index regression models
- WEIGHT LAD AND WEIGHT LAD RIDGE ESTIMATOR FOR SEEMINGLY UNRELATED REGRESSION MODELS
- Modification of Liu-type estimator for two SUR model
- Developing Ridge Parameters for SUR Model
- A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
- Mixed linear regression with equi-cross-correlated errors.
- Inference for seemingly unrelated linear mixed models
- Seemingly unrelated clusterwise linear regression for contaminated data
- On The Least Absolute Deviations Method for Ridge Estimation of Sure Models
- Oracle inequalities and optimal inference under group sparsity
- A non-iteration Bayesian sampling algorithm for robust seemingly unrelated regression \(\text{models}^*\)
- Statistical inference on seemingly unrelated varying coefficient partially linear models
- Seemingly unrelated regression with measurement error: estimation via Markov chain Monte Carlo and mean field variational Bayes approximation
- Parsimonious seemingly unrelated contaminated normal cluster-weighted models
- Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models
- An alternative approach for the numerical solution of seemingly unrelated regression equations models
- A study of BLUPs under a family of seemingly unrelated linear mixed models
- On seemingly unrelated regression models with linear mixed effects
- Best equivariant estimator of precision matrix in a seemingly unrelated regression model
- A Bayesian analysis of a simultaneous equations model for insurance rate-making
- General expression of best equivariant estimators of regression coefficients in seemingly unrelated regression models
- Annealed leap-point sampler for multimodal target distributions
- An efficient branch-and-bound strategy for subset vector autoregressive model selection
- Estimating seemingly unrelated regression models with vector autoregressive disturbances
- An algorithm to estimate time-varying parameter SURE models under different types of restriction
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