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Preliminary test estimation in system regression models in view of asymmetry

Author

Listed:
  • J. Kleyn

    (University of Pretoria)

  • M. Arashi

    (University of Pretoria
    Shahrood University of Technology)

  • S. Millard

    (University of Pretoria)

Abstract

In this paper, we consider the system regression model introduced by Arashi and Roozbeh (Comput Stat 30:359–376, 2015) and study the performance of the feasible preliminary test estimator (FPTE) both analytically and computationally, under the assumption that constraints may hold on the vector parameter space. The performance of the FPTE is analysed through a Monte Carlo simulation study under bounded and or asymmetric loss functions. An application of the so-called Cobb–Douglas production function in economic modelling together with the results from the simulation study shows that the bounded linear exponential (BLINEX) loss function outperforms the linear exponential loss function (LINEX) by comparing risk values.

Suggested Citation

  • J. Kleyn & M. Arashi & S. Millard, 2018. "Preliminary test estimation in system regression models in view of asymmetry," Computational Statistics, Springer, vol. 33(4), pages 1897-1921, December.
    • Handle: RePEc:spr:compst:v:33:y:2018:i:4:d:10.1007_s00180-018-0794-y
    DOI: 10.1007/s00180-018-0794-y
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    References listed on IDEAS

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    1. Badi H. Baltagi, 2021. "Seemingly Unrelated Regressions with Error Components," Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 149-155, Springer.
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    3. Moon, Hyungsik R., 1999. "A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors," Economics Letters, Elsevier, vol. 65(1), pages 25-31, October.
    4. Mohammad Arashi & Mahdi Roozbeh, 2015. "Shrinkage estimation in system regression model," Computational Statistics, Springer, vol. 30(2), pages 359-376, June.
    5. J. Coetsee & A. Bekker & S. Millard, 2014. "Preliminary test and Bayes Estimation of a Location Parameter Under Blinex Loss," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(17), pages 3641-3660, September.
    6. Srivastava, V. K. & Maekawa, Koichi, 1995. "Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 99-121.
    7. Roozbeh, M. & Arashi, M., 2013. "Feasible ridge estimator in partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 35-44.
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