Seemingly Unrelated Regression Equations Models: Estimation and Inference

ISBN-13: 9780824776107 / Angielski / Twarda / 1987 / 392 str.

V. K. Srivastava; David E. A. Giles; Virendra K. Srivastava

Opis

This book brings together the scattered literature associated with the seemingly unrelated regression equations (SURE) model used by econometricians and others. It focuses on the theoretical statistical results associated with the SURE model.

Spis treści

1. The Seemingly Unrelated Regression Equations Model 2. The Least Squares Estimator and Its Variants 3. Approximate Distribution Theory for Feasible Generalized Least Squares Estimators 4. Exact Finite-Sample Properties of Feasible Generalized Least Squares Estimators 5. Iterative Estimators 6. Shrinkage Estimators 7. Auto regressive Disturbances 8. Heteroscedastic Disturbances 9. Constrained Error Covariance Structures 10. Prior Information 11. Some Miscellaneous Topics

O autorze

Srivastava\, Virendera K.; Giles\, David E.A.