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Ridge regression in the context of a system of seemingly unrelated regression equations

โœ Scribed by Firinguetti, Luis


Book ID
118229832
Publisher
Taylor and Francis Group
Year
1997
Tongue
English
Weight
447 KB
Volume
56
Category
Article
ISSN
0094-9655

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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