MSEM dominance of estimators in two seemingly unrelated regressions

DOI10.1016/S0378-3758(00)00082-3zbMath0954.62083OpenAlexW2043034901MaRDI QIDQ1580001

Jin-Shan Liu

Publication date: 18 February 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00082-3

zbMATH Keywords

seemingly unrelated regressionstwo-stage estimatemean-square error-matrix criterionpre-test estimate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (7)

An Application of Matrix Power Series to Linear Models ⋮ On efficient estimators of two seemingly unrelated regressions ⋮ MSE superiority of Bayes and empirical Bayes estimators in two generalized seemingly unrelated regressions ⋮ Bayesian inference for the correlation coefficient in two seemingly unrelated regressions ⋮ Efficient improved estimation of the parameters in two seemingly unrelated regression models ⋮ Two-Stage Estimators of Seemingly Unrelated Regressions with Elliptical Distribution ⋮ Estimation of the parameters in a two linear regression equations system with identical parameter vectors

Cites Work

• An efficient procedure for estimating two seemingly unrelated regressions
• A new estimate of regression coefficients in seemingly unrelated regression system
• Mean square error matrix improvements and admissibility of linear estimators
• Mean square error matrix comparisons of estimators in linear regression
• Further Evidence on the Relative Efficiencies of Zellner's Seemingly Unrelated Regressions Estimator
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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