Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss (Q1985961)

scientific article; zbMATH DE number 7187908

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English	Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss	scientific article; zbMATH DE number 7187908

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instance of

scholarly article

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title

Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss (English)

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Statistical Methods and Applications

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publication date

7 April 2020

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zbMATH Keywords

correlation matrix

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covariance matrix

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equivariant estimator

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generalized least squares estimator

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seemingly unrelated regression model

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1007/s10260-019-00473-x

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cites work

Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques

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The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

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Q4303969

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Using mixtures in seemingly unrelated linear regression models with non-normal errors

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Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations

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Smooth coefficient estimation of a seemingly unrelated regression

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Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model

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Tests for the independence between two seemingly unrelated regression equations

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On the efficiencies of several generalized least squares estimators in a seemingly unrelated regression model and a heteroscedastic model

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One-sided tests for independence of seemingly unrelated regression equations

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Least upper bound for the covariance matrix of a generalized least squares estimator in regression with applications to a seemingly unrelated regression model and a heteroscedastic model

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Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix

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Efficient estimation of two seemingly unrelated regression equations

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Efficient improved estimation of the parameters in two seemingly unrelated regression models

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Robust Bayesian inference for seemingly unrelated regressions with elliptical errors

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Robust multivariate transformations to normality: constructed variables and likelihood ratio tests

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Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models

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Optimal design for multivariate observations in seemingly unrelated linear models

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Q4040694

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An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results

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A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model

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Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models

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Identifiers

zbMATH Open document ID

1436.62203

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Mathematics Subject Classification ID

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10.1007/S10260-019-00473-X

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Sitelinks

Mathematics(1 entry)

mardi Publication:1985961