Acta mathematica scientia,Series A ›› 2009, Vol. 29 ›› Issue (5): 1256-1264.

• Articles • Previous Articles     Next Articles

The Adjusted of Parameter Estimation in Seemingly Unrelated Regression

  

  1. Statistics College, Southwestern University of Finance and Economics, Chengdu 610074;College of Applied Science, Beijing University of Technology, Beijing 100124
  • Received:2007-03-10 Revised:2008-05-12 Online:2009-10-25 Published:2009-10-25
  • Supported by:

    北京市属市管高等学校人才强教计划项目(05006011200702) 和国家自然科学基金青年基金(10801005)资助

Abstract:

For a seemingly unrelated regression with m linear regression models,the literature [7] propose a new method which based on iterative information step by step. Based on this method, this paper obtain a farther adjusted form which also has congruence. At the same time, a new estimator is proposed by using the idea in literature [7]. It is a feasible estimator having small sample property. The simulation result also indicates that our estimator is effective. The literature [10] gave a concise two-stage estimator by using the covariance adjusted approach of
literature [8]. This paper improves on it which shows the more power of small sample optimality by comparing with least square estimator.

Key words: Seemingly unrelated regression model, Covariance adjusted estimator, Two-stage estimator

CLC Number: 

  • 62H12
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