On efficient estimators of two seemingly unrelated regressions

Lichun Wang, Heng Lian and Radhey S. Singh

Statistics & Probability Letters, 2011, vol. 81, issue 5, 563-570

Abstract: In this paper, following the results presented in Liu's work [Liu, A.Y., 2002. Efficient estimation of two seemingly unrelated regression equations. Journal of Multivariate Analysis 82, 445-456], we first represent the Gauss-Markov estimator of the regression parameter as a matrix series, and hence we conclude that the observation vectors should appear in any efficient estimator in pairs. Second, we prove that the simpler form of the two-stage Aitken estimator is unique. Finally we generalize our results to the system of two seemingly unrelated regressions with unequal numbers of observations and briefly summarize our conclusions.

Keywords: Seemingly; unrelated; regressions; Two-stage; estimator; Mean; square; error; matrix (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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