Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances

DOI10.1016/0304-4076(94)01609-4zbMath0814.62035OpenAlexW2029075690MaRDI QIDQ1347093

V. Pereyra

Publication date: 10 May 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01609-4

zbMATH Keywords

rate of convergenceMonte Carloefficiencyasymptotic expansionsnon-normal disturbancesseemingly unrelated regression equationsSURE-model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items

Seemingly Unrelated Ridge Regression in Semiparametric Models ⋮ Using mixtures in seemingly unrelated linear regression models with non-normal errors ⋮ SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ Preliminary test estimation in system regression models in view of asymmetry ⋮ Expectation of quadratic forms in normal and nonnormal variables with applications ⋮ Feasible Ridge Estimator in Seemingly Unrelated Semiparametric Models ⋮ Shrinkage estimation in system regression model

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