An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator

DOI10.1016/0304-4076(77)90012-4zbMath0363.62086OpenAlexW2051530773MaRDI QIDQ1240513

Peter C. B. Phillips

Publication date: 1977

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(77)90012-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Some overall properties of seemingly unrelated regression models, Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances, SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS, The approximate distribution function of the Stein-rule estimator, New evidence on the small properties of estimators of SUR models with autocorrelated disturbances, Second order approximation in a linear regression with heteroskedasticity of unknown form, Dynamic panel estimation and homogeneity testing under cross section dependence, A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model, PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators
• Econometric Estimators and the Edgeworth Approximation
• Further Evidence on the Relative Efficiencies of Zellner's Seemingly Unrelated Regressions Estimator
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• A General Approximation to the Distribution of Instrumental Variables Estimates
• Generalized Least Squares with an Estimated Variance Covariance Matrix
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias