Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00362-021-01232-5.pdf
Reference35 articles.
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2. Alkhamisi MA, Golam Kibria BM, Shukur Ghazi (2019) Estimation of SUR model with Var($$p$$) disturbances. Commun Stat 5(4):432–453
3. Ando T, Zellner A (2010) Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equation models using a combination of direct Monte Carlo and importance sampling techniques. Bayesian Anal 5(1):65–96
4. Breusch TS, Pagan AR (1980) The Lagrange multiplier test and its application to model specification in econometrics. Rev Econ Stud 47(1):239–253
5. Costa N, Lourenco J, Pereira ZL (2012) Responses modeling and optimization criteria impact on the optimization of multiple quality characteristics. Comput Ind Eng 62(4):927–935
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