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Efficient Estimation of Two Seemingly Unrelated Regression Equations

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  • Liu, Aiyi

Abstract

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.

Suggested Citation

  • Liu, Aiyi, 2002. "Efficient Estimation of Two Seemingly Unrelated Regression Equations," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 445-456, August.
    • Handle: RePEc:eee:jmvana:v:82:y:2002:i:2:p:445-456
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    Citations

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    Cited by:

    1. Shun Matsuura & Hiroshi Kurata, 2022. "Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression," Statistical Papers, Springer, vol. 63(1), pages 123-141, February.
    2. Wang, Min & Sun, Xiaoqian, 2012. "Bayesian inference for the correlation coefficient in two seemingly unrelated regressions," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2442-2453.
    3. Ma, Tiefeng & Wang, Songgui, 2009. "Estimation of the parameters in a two linear regression equations system with identical parameter vectors," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1135-1140, May.
    4. Zellner, Arnold & Ando, Tomohiro, 2010. "A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model," Journal of Econometrics, Elsevier, vol. 159(1), pages 33-45, November.
    5. Zhao, Li & Xu, Xingzhong, 2017. "Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 119-126.
    6. Ryan H. L. Ip & Dmitry Demskoi & Azizur Rahman & Lihong Zheng, 2021. "Evaluation of COVID-19 Mitigation Policies in Australia Using Generalised Space-Time Autoregressive Intervention Models," IJERPH, MDPI, vol. 18(14), pages 1-17, July.
    7. Xu, Qinfeng & You, Jinhong & Zhou, Bin, 2008. "Seemingly unrelated nonparametric models with positive correlation and constrained error variances," Economics Letters, Elsevier, vol. 99(2), pages 223-227, May.
    8. Jinhong You & Xian Zhou, 2010. "Statistical inference on seemingly unrelated varying coefficient partially linear models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(2), pages 227-253, May.
    9. Shun Matsuura & Hiroshi Kurata, 2020. "Covariance matrix estimation in a seemingly unrelated regression model under Stein’s loss," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 79-99, March.
    10. Wang, Lichun & Lian, Heng & Singh, Radhey S., 2011. "On efficient estimators of two seemingly unrelated regressions," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 563-570, May.

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