Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model

ordinary least squares estimator covariance matrices heteroscedastic model seemingly unrelated regression Zellner estimator two-stage Aitken estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (11)

Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression ⋮ Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix ⋮ Least upper bound for the covariance matrix of a generalized least squares estimator in regression with applications to a seemingly unrelated regression model and a heteroscedastic model ⋮ Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss ⋮ Bounds for normal approximations to the distributions of generalized least squares predictors and estimators ⋮ Some improved estimators in the case of possible heteroscedasticity ⋮ Two-Stage Estimators of Seemingly Unrelated Regressions with Elliptical Distribution ⋮ Double shrinkage estimation of common coefficients in two regression equations with hetersocedasticity ⋮ Lattice conditional independence models for seemingly unrelated regressions ⋮ A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.

This page was built for publication: Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model