On seemingly unrelated regressions with uniform correlation error

Tian He and Lichun Wang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 16, 5714-5727

Abstract: For the system of two seemingly unrelated regressions with uniform correlation error, we present an estimator sequence for regression parameter and further indicate the sequence converges to a limiting expression. In the case that the variance-covariance matrix of the error variables is unknown, a simpler two-stage estimator is proposed and it is shown that it is preferred based on its small sample properties and some numerical illustrations.

Date: 2022
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DOI: 10.1080/03610926.2020.1845736

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