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A note on the estimation of seemingly unrelated regression systems

โœ Scribed by Peter Schmidt

Publisher
Elsevier Science
Year
1978
Tongue
English
Weight
212 KB
Volume
7
Category
Article
ISSN
0304-4076

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โœ Hiroshi Kurata ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 102 KB

This paper investigates the efficiencies of several generalized least squares estimators (GLSEs) in terms of the covariance matrix. Two models are analyzed: a seemingly unrelated regression model and a heteroscedastic model. In both models, we define a class of unbiased GLSEs and show that their cov