Improved Average Estimation in Seemingly Unrelated Regressions
نویسندگان
چکیده
منابع مشابه
Seemingly Unrelated Regressions
This article considers the seemingly unrelated regression (SUR) model first analyzed by Zellner (1962). We describe estimators used in the basic model as well as recent extensions.
متن کاملEstimation of Seemingly Unrelated Tobit Regressions via the EM Algorithm
In this article we consider the estimation of two seemingly unrelated Tobit regressions in which the dependent variables are truncated normal. The model is useful, since it can be viewed as the reduced form of a simultaneous-equations Tobit model. The proposed estimation method and algorithm are interesting in themselves for the following reasons. In the estimation of a simultaneous equations m...
متن کاملBayesian modelling of multivariate quantitative traits using seemingly unrelated regressions.
We investigate a Bayesian approach to modelling the statistical association between markers at multiple loci and multivariate quantitative traits. In particular, we describe the use of Bayesian Seemingly Unrelated Regressions (SUR) whereby genotypes at the different loci are allowed to have non-simultaneous effects on the phenotypes considered with residuals from each regression assumed correla...
متن کاملEfficient Semiparametric Seemingly Unrelated Quantile Regression Estimation
We propose an efficient semiparametric estimator for the coefficients of a multivariate linear regression model — with a conditional quantile restriction for each equation — in which the conditional distributions of errors given regressors are unknown. The procedure can be used to estimate multiple conditional quantiles of the same regression relationship. The proposed estimator is asymptotical...
متن کاملExact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometrics
سال: 2020
ISSN: 2225-1146
DOI: 10.3390/econometrics8020015