Best linear unbiased predictors and estimators under a pair of constrained seemingly unrelated regression models

Hong Jiang, Jianwei Qian and Yuqin Sun

Statistics & Probability Letters, 2020, vol. 158, issue C

Abstract: We give a group of computational formulas on best linear unbiased predictors and best linear unbiased estimators of all unknown parameters in a pair of seemingly-unrelated regression models with separate linear parameter restrictions using some quadratic matrix optimization methods, and establish many basic properties of the predictors and estimators under some general assumptions.

Keywords: CSUR model; BLUP; BLUE; Covariance matrix; Decomposition (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2019.108669

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