The Exact Distribution of the SUR Estimator

DOI10.2307/1912651zbMath0574.62017OpenAlexW1976015237MaRDI QIDQ3692608

Peter C. B. Phillips

Publication date: 1985

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912651

zbMATH Keywords

multivariate linear modelseemingly unrelated regression modelnormally distributed errorsfinite sample distributionlinear parameter restrictionsmatrix fractional calculusnonrandom exogenous variablestwo-stage generalized least squares estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

Related Items (7)

The exact mean squared error of Stein-rule estimator in linear models ⋮ SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ ARMAX lattice algorithm for identification and prediction of dynamic systems ⋮ LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE ⋮ Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models ⋮ Invariant Polynomials and Related Tests ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

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