Efficient improved estimation of the parameters in two seemingly unrelated regression models |
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| Authors: | Tiefeng Ma Rendao Ye |
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| Affiliation: | 1. Statistics College, Southwestern University of Finance and Economics, Chengdu 610074, China;2. College of Economics, Hangzhou Dianzi University, Zhejiang 310018, China |
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| Abstract: | For a system of two seemingly unrelated regression equations, this paper proposes a two-stage covariance improved estimator of the regression coefficients. The new estimator is shown to uniformly dominate the present estimators in terms of generalized mean square error criterion. In addition, we also propose the exact generalized mean square error of new estimator. |
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| Keywords: | Seemingly unrelated regression models Co-variance improved estimator Two-stage estimator Generalized mean square error |
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