High-correlated residuals improved estimation in the high-dimensional SUR model

DOI10.1080/03610918.2017.1309429OpenAlexW2603961080MaRDI QIDQ5084940

Li Zhao, Xingzhong Xu, Liang Yan

Publication date: 29 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1309429

zbMATH Keywords

high dimensionseemingly unrelated regression modelregression coefficientssignificant correlationtwo-stage improved estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (1)

Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression

Cites Work

• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
• Highly accurate likelihood analysis for the seemingly unrelated regression problem
• Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix
• On efficient estimators of two seemingly unrelated regressions
• Efficient estimation of two seemingly unrelated regression equations
• Feasible Ridge Estimator in Seemingly Unrelated Semiparametric Models
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Use of Restricted Residuals in SUR Systems: Some Finite Sample Results
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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