On efficient estimators of two seemingly unrelated regressions
In this paper, following the results presented in Liu's work [Liu, A.Y., 2002. Efficient estimation of two seemingly unrelated regression equations. Journal of Multivariate Analysis 82, 445-456], we first represent the Gauss-Markov estimator of the regression parameter as a matrix series, and hence we conclude that the observation vectors should appear in any efficient estimator in pairs. Second, we prove that the simpler form of the two-stage Aitken estimator is unique. Finally we generalize our results to the system of two seemingly unrelated regressions with unequal numbers of observations and briefly summarize our conclusions.
Year of publication: |
2011
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Authors: | Wang, Lichun ; Lian, Heng ; Singh, Radhey S. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 5, p. 563-570
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Publisher: |
Elsevier |
Keywords: | Seemingly unrelated regressions Two-stage estimator Mean square error matrix |
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