Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix
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References listed on IDEAS
- Liu, Aiyi, 2002. "Efficient Estimation of Two Seemingly Unrelated Regression Equations," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 445-456, August.
- 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.
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KeywordsEquivariant estimator; Seemingly unrelated regression model; Group invariance; Maximal invariant; Generalized least squares estimator;
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