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Efficient Estimation of Two Seemingly Unrelated Regression Equations

โœ Scribed by Aiyi Liu

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
102 KB
Volume
82
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

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 large samples.

๐Ÿ“œ SIMILAR VOLUMES

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โœ Paolo Foschi; Erricos J. Kontoghiorghes ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 341 KB

The numerical solution of seemingly unrelated regression (SUR) models with vector autoregressive disturbances is considered. Initially, an orthogonal transformation is applied to reduce the model to one with smaller dimensions. The transformed model is expressed as a reduced-size SUR model with stoc