Efficient Estimation of Two Seemingly Unrelated Regression Equations

Aiyi Liu

Journal of Multivariate Analysis, 2002, vol. 82, issue 2, 445-456

Abstract: We derive simpler expressions under a certain structure of design matrices for the two-stage Aitken estimates of the regression coefficients of two seemingly unrelated regression equations. The estimates are shown to have smaller variance than the ordinary least squares estimates for sufficiently large samples.

Keywords: two-stage; estimates; finite; sample; efficiency; mean; square; error (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (10)

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