On seemingly unrelated regressions with uniform correlation error

被引：0

作者：

He, Tian ^{[1
]}

Wang, Lichun ^{[1
]}

机构：

[1] Beijing Jiaotong Univ, Dept Math, Beijing 100044, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2022年 / 51卷 / 16期

关键词：

Seemingly unrelated regressions; covariance adjustment; two-stage estimator; RIDGE-REGRESSION; ESTIMATORS; VARIANCE;

D O I：

10.1080/03610926.2020.1845736

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For the system of two seemingly unrelated regressions with uniform correlation error, we present an estimator sequence for regression parameter and further indicate the sequence converges to a limiting expression. In the case that the variance-covariance matrix of the error variables is unknown, a simpler two-stage estimator is proposed and it is shown that it is preferred based on its small sample properties and some numerical illustrations.

引用

页码：5714 / 5727

页数：14

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