Efficient estimation of two seemingly unrelated regression equations

[摘要] 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. (C) 2001 Elsevier Science.

[发布日期] 2002-08-01

[关键词] two-stage estimates;finite sample efficiency;mean square error