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A Note on the Efficiency of Seemingly Unrelated Regression

โœ Scribed by Binkley, James K.; Nelson, Carl H.


Book ID
120231254
Publisher
American Statistical Association
Year
1988
Tongue
English
Weight
354 KB
Volume
42
Category
Article
ISSN
0003-1305

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We derive simpler expressions under a certain structure of design matrices for the two-stage Aitken estimates of the regression coefficients of two seemingly unrelated regression equations. The estimates are shown to have smaller variance than the ordinary least squares estimates for sufficiently la