An Application of Matrix Power Series to Linear Models |
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| Authors: | Lichun Wang Radhey S. Singh |
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| Affiliation: | 1. Department of Mathematics , Beijing Jiaotong University , Beijing , P.R. China wlc@amss.ac.cn;3. Department of Mathematics &4. Statistics , University of Guelph , Guelph , Ontario , Canada |
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| Abstract: | ![]()
In the system of two seemingly unrelated regressions, employing a matrix power series, we show that the two-stage estimator is better than the ordinary least square estimator (OLSE) in terms of the mean square error matrix (MSEM) criterion. The result enriches the existing literature and can be applied to many fields of applications related to economics and statistics. |
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| Keywords: | Matrix power series MSEM criterion Two-stage estimator |
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