Comparison of Covariance Matrices of Predictors in Seemingly Unrelated Regression Models

被引：5

作者：

Guler, Nesrin ^{[1
]}

Buyukkaya, Melek Eris ^{[2
]}

Yigit, Melike ^{[3
]}

机构：

[1] Sakarya Univ, Dept Econometr, TR-54187 Sakarya, Turkey

[2] Karadeniz Tech Univ, Dept Stat & Comp Sci, TR-61080 Trabzon, Turkey

[3] Sakarya Univ, Dept Math, TR-54187 Sakarya, Turkey

来源：

INDIAN JOURNAL OF PURE & APPLIED MATHEMATICS | 2022年 / 53卷 / 03期

关键词：

BLUP; Covariance matrix; Inertia; OLSP; Rank; Seemingly unrelated regression model; LINEAR UNBIASED PREDICTION; EQUALITIES; ESTIMATORS;

D O I：

10.1007/s13226-021-00174-w

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper considers comparison problems of predictor and estimator in the context of seemingly unrelated regression models (SURMs). SURMs are a class of multiple regression equations with correlated errors among the equations from linear regression models. Our aim is to establish a variety of equalities and inequalities for comparing covariance matrices of the best linear unbiased predictors (BLUPs) and the ordinary least squares predictors (OLSPs) of unknown vectors under SURMs by using various rank and inertia formulas of block matrices. The results for comparisons of the best linear unbiased estimators (BLUEs) and the ordinary least squares estimators (OLSEs) in the models are also considered.

引用

页码：801 / 809

页数：9

共 34 条

[1] CHARACTERIZATIONS OF ESTIMABILITY IN THE GENERAL LINEAR-MODEL
ALALOUF, IS
STYAN, GPH
[J]. ANNALS OF STATISTICS, 1979, 7 (01) : 194 - 200
[2] Baksalary J.K., 1989, ECONOMET THEOR, V5, P463
[3] Baksalary JK., 1979, STATISTICS-ABINGDON, V10, P203
[4] Baltagi BH., 1988, ECONOMET THEOR, V4, P536
[5] A SIMPLE CHARACTERIZATION OF SEEMINGLY UNRELATED REGRESSIONS MODELS IN WHICH OLS IS BLUE
BARTELS, R
FIEBIG, DG
[J]. AMERICAN STATISTICIAN, 1991, 45 (02) : 137 - 140
[6] Dwivedi T., 1978, Journal of Econometrics, V7, P391, DOI DOI 10.1016/0304-4076(78)90062-3
[7] BEST LINEAR UNBIASED PREDICTION IN GENERALIZED LINEAR-REGRESSION MODEL
GOLDBERGER, AS
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1962, 57 (298) : 369 - &
[8] Establishing Equalities of OLSEs and BLUEs Under Seemingly Unrelated Regression Models
Gong, Li
[J]. JOURNAL OF STATISTICAL THEORY AND PRACTICE, 2019, 13 (01)
[9] Rank and inertia formulas for covariance matrices of BLUPs in general linear mixed models
Guler, Nesrin
Buyukkaya, Melek Eris
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2021, 50 (21) : 4997 - 5012
[10] Notes on Comparison of Covariance Matrices of BLUPs Under Linear Random-Effects Model with Its Two Subsample Models
Guler, Nesrin
Buyukkaya, Melek Eris
[J]. IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A-SCIENCE, 2019, 43 (A6): : 2993 - 3002

← 1 2 3 4 →