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Efficient Estimation of Two Seemingly Unrelated Regression Equations


  • Liu, Aiyi


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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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Hiroshi Kurata & Shun Matsuura, 2016. "Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(4), pages 705-723, August.
    7. repec:eee:stapro:v:126:y:2017:i:c:p:119-126 is not listed on IDEAS
    8. 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.


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