A Note on Estimation in Seemingly Unrelated Semi-Parametric Regression Models
AbstractIn this paper a system of two seemingly unrelated semi-parametric regression models is considered, in which, following the partial residual procedure, we first show that the weighted least squares estimator (WLSE) of the regression parameter from the system can be expressed as a matrix series. Then this estimator is shown to be the limit of the covariance-adjusted estimator sequence of the regression parameter. Furthermore, based on the matrix series, we prove that the WLSE actually has only one unique simpler form, which exactly equals to the one-step covariance-adjusted estimator of the regression parameter. We also show that when the variance-covariance matrix of disturbances is unknown, the corresponding two-stage WLSE too has exactly one simpler form, and for any finite k ≥ 2, the k-step covariance-adjusted estimator degenerates to the one-step covariance-adjusted estimator. Finally, we generalize our above conclusions to the system of m(m ≥ 3) seemingly unrelated semi-parametric regressions and point out that the conclusions presented in this paper include the system of m(m ≥ 2) seemingly unrelated linear regressions as its special case.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by The Indian Econometric Society in its journal Journal of Quantitative Economics.
Volume (Year): 10 (2012)
Issue (Month): 1 (January)
Postal: Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Swamy, P. A. V. B. & Mehta, J. S., 1975. "On Bayesian estimation of seemingly unrelated regressions when some observations are missing," Journal of Econometrics, Elsevier, vol. 3(2), pages 157-169, May.
- Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
- Schmidt, Peter, 1977. "Estimation of seemingly unrelated regressions with unequal numbers of observations," Journal of Econometrics, Elsevier, vol. 5(3), pages 365-377, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (D. M. Nachane) or ().
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.