Seemingly unrelated nonparametric models with positive correlation and constrained error variances
A new estimation is proposed for seemingly unrelated nonparametric regression models where variance of disturbance in an equation is larger than that in the preceding equation, and all of the correlation coefficients between the disturbances across the equations are positive.
References listed on IDEAS
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- Smith, Michael & Kohn, Robert, 2000.
"Nonparametric seemingly unrelated regression,"
Journal of Econometrics,
Elsevier, vol. 98(2), pages 257-281, October.
- Smith, M. & Kohn, R., 1998. "Nonparametric Seemingly Unrelated Regression," Monash Econometrics and Business Statistics Working Papers 7/98, Monash University, Department of Econometrics and Business Statistics.
- Gallant, A. Ronald, 1975. "Seemingly unrelated nonlinear regressions," Journal of Econometrics, Elsevier, vol. 3(1), pages 35-50, February.
- Ng, Vee Ming, 2002. "Robust Bayesian Inference for Seemingly Unrelated Regressions with Elliptical Errors," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 409-414, November.
- Kurata, Hiroshi, 1999. "On the Efficiencies of Several Generalized Least Squares Estimators in a Seemingly Unrelated Regression Model and a Heteroscedastic Model," Journal of Multivariate Analysis, Elsevier, vol. 70(1), pages 86-94, July.
- Mandy, David M. & Martins-Filho, Carlos, 1993. "Seemingly unrelated regressions under additive heteroscedasticity : Theory and share equation applications," Journal of Econometrics, Elsevier, vol. 58(3), pages 315-346, August.
- Liu, Aiyi, 2002. "Efficient Estimation of Two Seemingly Unrelated Regression Equations," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 445-456, August. Full references (including those not matched with items on IDEAS)
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