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Best linear unbiased predictors and estimators under a pair of constrained seemingly unrelated regression models

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  • Jiang, Hong
  • Qian, Jianwei
  • Sun, Yuqin

Abstract

We give a group of computational formulas on best linear unbiased predictors and best linear unbiased estimators of all unknown parameters in a pair of seemingly-unrelated regression models with separate linear parameter restrictions using some quadratic matrix optimization methods, and establish many basic properties of the predictors and estimators under some general assumptions.

Suggested Citation

  • Jiang, Hong & Qian, Jianwei & Sun, Yuqin, 2020. "Best linear unbiased predictors and estimators under a pair of constrained seemingly unrelated regression models," Statistics & Probability Letters, Elsevier, vol. 158(C).
    • Handle: RePEc:eee:stapro:v:158:y:2020:i:c:s0167715219303153
    DOI: 10.1016/j.spl.2019.108669
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    References listed on IDEAS

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    1. Yuqin Sun & Rong Ke & Yongge Tian, 2014. "Some overall properties of seemingly unrelated regression models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(2), pages 103-120, April.
    2. Yongge Tian, 2015. "A new derivation of BLUPs under random-effects model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(8), pages 905-918, November.
    3. Zhao, Li & Xu, Xingzhong, 2017. "Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 119-126.
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    Cited by:

    1. Nesrin Güler & Melek Eriş Büyükkaya & Melike Yiğit, 2022. "Comparison of Covariance Matrices of Predictors in Seemingly Unrelated Regression Models," Indian Journal of Pure and Applied Mathematics, Springer, vol. 53(3), pages 801-809, September.
    2. Shun Matsuura & Hiroshi Kurata, 2022. "Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression," Statistical Papers, Springer, vol. 63(1), pages 123-141, February.
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    4. Ahmad, Munir & Zhu, Xiwei & Wu, Yiyun, 2022. "The criticality of international tourism and technological innovation for carbon neutrality across regional development levels," Technological Forecasting and Social Change, Elsevier, vol. 182(C).

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