IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v67y1998i2p169-189.html
   My bibliography  Save this article

Double Shrinkage Estimation of Common Coefficients in Two Regression Equations with Heteroscedasticity

Author

Listed:
  • Kubokawa, Tatsuya

Abstract

The problem of estimating the common regression coefficients is addressed in this paper for two regression equations with possibly different error variances. The feasible generalized least squares (FGLS) estimators have been believed to be admissible within the class of unbiased estimators. It is, nevertheless, established that the FGLS estimators are inadmissible in light of minimizing the covariance matrices if the dimension of the common regression coefficients is greater than or equal to three. Double shrinkage unbiased estimators are proposed as possible candidates of improved procedures.

Suggested Citation

  • Kubokawa, Tatsuya, 1998. "Double Shrinkage Estimation of Common Coefficients in Two Regression Equations with Heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 169-189, November.
    • Handle: RePEc:eee:jmvana:v:67:y:1998:i:2:p:169-189
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(98)91763-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Taylor, William E, 1977. "Small Sample Properties of a Class of Two Stage Aitken Estimators," Econometrica, Econometric Society, vol. 45(2), pages 497-508, March.
    2. Taylor, William E, 1978. "The Heteroscedastic Linear Model: Exact Finite Sample Results," Econometrica, Econometric Society, vol. 46(3), pages 663-675, May.
    3. Swamy, P. A. V. B. & Mehta, J. S., 1979. "Estimation of common coefficients in two regression equations," Journal of Econometrics, Elsevier, vol. 10(1), pages 1-14, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Guo-Qing & Wu, Qi-Guang, 2004. "Existence conditions for the uniformly minimum risk unbiased estimators in a class of linear models," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 76-88, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Binkley, James K., 1988. "Estimation of Variances in the Grouped Heteroskedasticity Model," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270202, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Ozcam, Ahmet & Judge, George, 1988. "The Analytical Risk of a Two Stage Pretest Estimator in the Case of Possible Heteroscedasticity," CUDARE Working Papers 198478, University of California, Berkeley, Department of Agricultural and Resource Economics.
    3. Bekker, Paul & Leertouwer, Erik, 2000. "Exact inference for the linear model with groupwise heteroscedastic spherical disturbances," CCSO Working Papers 200008, University of Groningen, CCSO Centre for Economic Research.
    4. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    5. repec:dgr:rugccs:200008 is not listed on IDEAS
    6. Paul A. Bekker & E. C. Leertouwer, 2000. "Exact Inference for the Linear Model with Groupwise Heteroscedasticity," Econometric Society World Congress 2000 Contributed Papers 1760, Econometric Society.
    7. Atanu Saha & Arthur Havenner & Hovav Talpaz, 1997. "Stochastic production function estimation: small sample properties of ML versus FGLS," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 459-469.
    8. Çetin, Ahmet Burak, 2019. "The Effect of Economic and Political Institutions on Economic Growth: The Case of Developed Countries and Emerging Market Economies," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 4(2), pages 1-31, December.
    9. Wansbeek, Tom & Kapteyn, Arie, 1989. "Estimation of the error-components model with incomplete panels," Journal of Econometrics, Elsevier, vol. 41(3), pages 341-361, July.
    10. Bekker, Paul A., 2002. "Exact inference for the linear model with groupwise heteroscedastic spherical disturbances," Journal of Econometrics, Elsevier, vol. 111(2), pages 285-302, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:67:y:1998:i:2:p:169-189. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.