2SUR回归模型系数估计的优良性比较(英文)

MSEM Comparisons in Estimating Two Seemingly Unrelated Regressions

对于2SUR回归模型的参数估计问题,给出了一些一般均方误差矩阵比较结果,据此提出了一类线性估计和一类基于离差阵广义非限定估计的非线性两步估计,并获得了该两步估计类的一些有限样本性质.

For a system of two seemingly unrelated regressions, some general results of mean square error matrix comparisons are presented. A class of linear estimators and a class of two-stage estimators based on a generalized unrestricted estimate of the dispersion matrix are proposed. Some exact finite sample properties of the two-stage estimators are obtained.