The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models

DOI10.1016/0304-4076(94)01670-UzbMath0852.62097OpenAlexW2149262808MaRDI QIDQ1899247

Bernhard Schipp, Jan F. Kiviet, Garry D. A. Phillips

Publication date: 12 November 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01670-u

zbMATH Keywords

bias reductionmean squared errorbias correctionMonte Carlo experimentsasymptotic approximationsbias approximationsseemingly unrelated regression equations modelsmall-sample estimation biastwo-equation dynamic modeltwo-stage Aitken estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Related Items (4)

Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models ⋮ Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

Cites Work

• Unnamed Item
• Estimation of seemingly unrelated regression with lagged dependent variables and autocorrelated errors
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• The Bias of the Two-Stage Least Squares Estimator
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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