Previous |  Up |  Next


seemingly unrelated regression; linear statistical model; variance components; BLUE; MINQUE
The cross-covariance matrix of observation vectors in two linear statistical models need not be zero matrix. In such a case the problem is to find explicit expressions for the best linear unbiased estimators of both model parameters and estimators of variance components in the simplest structure of the covariance matrix. Univariate and multivariate forms of linear models are dealt with.
[1] Baltagi, B.: On seemingly unrelated regression with error components. Econometrica 48 (1980), 1547-1552. DOI 10.2307/1912824 | MR 0584315
[2] Davidson, D., MacKinnon, J. G.: Estimation and Inference in Econometrics. Oxford University Press New York (1993). MR 1350531 | Zbl 1009.62596
[3] Kmenta, J., Gilbert, R. F.: Small sample properties of alternative estimators of seemingly unrelated regressions. J. Am. Stat. Assoc. 63 (1968), 1180-1200. DOI 10.1080/01621459.1968.10480919 | MR 0237027
[4] Kubáček, L., Kubáčková, L., Volaufová, J.: Statistical Models with Linear Structures. Veda Bratislava (1995).
[5] Kubáček, L.: Multivariate Statistical Models Revisited. Palacký University Olomouc (2008).
[6] Kshirsagar, A. M.: Multivariate Analysis. Marcel Dekker, Inc. New York (1972). MR 0343478 | Zbl 0246.62064
[7] Mentz, G. B., Kshirsagar, A. M.: Sum of profiles model with exchangeably distributed errors. Commun. Stat., Theory Methods 32 (2003), 1591-1605. DOI 10.1081/STA-120022246 | MR 1996796 | Zbl 1184.62090
[8] Rao, C. R., Mitra, S. K.: Generalized Inverse of Matrices and its Applications. John Wiley & Sons New York-London-Sydney-Toronto (1971). MR 0338013 | Zbl 0236.15005
[9] Rao, C. R., Kleffe, J.: Estimation of Variance Components and Applications. North-Holland Amsterdam-New York-Oxford-Tokyo (1988). MR 0933559 | Zbl 0645.62073
[10] Zellner, A.: Estimators of seemingly unrelated equations: Some exact finite sample results. J. Am. Stat. Assoc. 58 (1963), 977-992. DOI 10.1080/01621459.1963.10480681 | MR 0157439
Partner of
EuDML logo