Two-stage estimate of the parameters in seemingly unrelated regression model

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	Two-stage estimate of the parameters in seemingly unrelated regression model
	Liu, JS ; Wang, SG
	1999-07-01
发表期刊	PROGRESS IN NATURAL SCIENCE
ISSN	1002-0071
卷号	9 期号:7 页码:489-496
摘要	For a general model of seemingly unrelated regression (SUR), this paper proposes a two-stage estimate of the parameters based on the covariance-improved approach due to Rao. Some advantages of this estimate include the conciseness of expression and the efficiency in making use of the sample information. Assume that the errors have normal distributions, the exact expression of the covariance matrix of the estimate is obtained and the superiority over the LSE (least squares estimate) is shown under some condition but without any constraint on the design matrix.
关键词	model of SUR covariance-improved approach two-stage estimate finite sample property
语种	英语
WOS研究方向	Materials Science ; Science & Technology - Other Topics
WOS类目	Materials Science, Multidisciplinary ; Multidisciplinary Sciences
WOS记录号	WOS:000081605900002
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14775
专题	中国科学院数学与系统科学研究院
通讯作者	Liu, JS
作者单位	1.Wuyi Univ, Dept Math & Phys, Jiangmen 529020, Peoples R China 2.Beijing Polytech Univ, Inst Stat, Beijing 100022, Peoples R China 3.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Liu, JS,Wang, SG. Two-stage estimate of the parameters in seemingly unrelated regression model[J]. PROGRESS IN NATURAL SCIENCE,1999,9(7):489-496.
APA	Liu, JS,&Wang, SG.(1999).Two-stage estimate of the parameters in seemingly unrelated regression model.PROGRESS IN NATURAL SCIENCE,9(7),489-496.
MLA	Liu, JS,et al."Two-stage estimate of the parameters in seemingly unrelated regression model".PROGRESS IN NATURAL SCIENCE 9.7(1999):489-496.