Covariance matrix estimation in a seemingly unrelated regression model under Stein’s loss

Shun Matsuura () and Hiroshi Kurata
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Shun Matsuura: Keio University
Hiroshi Kurata: The University of Tokyo

Statistical Methods & Applications, 2020, vol. 29, issue 1, No 4, 79-99

Abstract: Abstract A seemingly unrelated regression model has been commonly used for describing a set of different regression models with correlations. This paper discusses the estimation of the covariance matrix in a seemingly unrelated regression model under Stein’s loss function. In particular, when the correlation matrix is assumed to be known, a best equivariant estimator of the covariance matrix is derived. Its properties are investigated and a connection to a best equivariant estimator of regression coefficients given in a previous study is shown. Results of numerical simulations and an illustrative example are also presented to compare the best equivariant estimator of the covariance matrix with several conventional covariance matrix estimators.

Keywords: Correlation matrix; Covariance matrix; Equivariant estimator; Generalized least squares estimator; Seemingly unrelated regression model (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10260-019-00473-x

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