Double Shrinkage Estimation of Common Coefficients in Two Regression Equations with Heteroscedasticity
The problem of estimating the common regression coefficients is addressed in this paper for two regression equations with possibly different error variances. The feasible generalized least squares (FGLS) estimators have been believed to be admissible within the class of unbiased estimators. It is, nevertheless, established that the FGLS estimators are inadmissible in light of minimizing the covariance matrices if the dimension of the common regression coefficients is greater than or equal to three. Double shrinkage unbiased estimators are proposed as possible candidates of improved procedures.
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Volume (Year): 67 (1998)
Issue (Month): 2 (November)
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- Swamy, P. A. V. B. & Mehta, J. S., 1979. "Estimation of common coefficients in two regression equations," Journal of Econometrics, Elsevier, vol. 10(1), pages 1-14, April.
- TAYLOR, William E., .
"Small sample properties of a class of two stage Aitken estimators,"
CORE Discussion Papers RP
-287, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Taylor, William E, 1977. "Small Sample Properties of a Class of Two Stage Aitken Estimators," Econometrica, Econometric Society, vol. 45(2), pages 497-508, March.
- Taylor, William E, 1978. "The Heteroscedastic Linear Model: Exact Finite Sample Results," Econometrica, Econometric Society, vol. 46(3), pages 663-75, May.
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