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

DOI10.1080/03610918.2017.1309429MaRDI QIDQ5084940zbMATH OpenOpenAlexFDO

Authors Li Zhao, L. Yan, Xingzhong Xu

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

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

Cites work

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

Cited in

(2)

• Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
• REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS

This page was built for publication: High-correlated residuals improved estimation in the high-dimensional SUR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5084940)