Efficient estimation of two seemingly unrelated regression equations

By Aiyi Liu. 2002

50 citations recorded by the source corpus.

We derive simpler expressions under a certain structure of design matrices for the two-stage Aitken estimates of the regression coefficients of two seemingly unrelated regression equations. The estimates are shown to have smaller variance than the ordinary least squares estimates for sufficiently large samples.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0636c18d254c5ac0a0170e5e1d7429d2efc14b60

Citations in the corpus

• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model (2010, unknown): “and Martins (1993), Kurata (1999), Liu (2002) , Ng (2002), Carroll, et al. (2006).”