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Estimation of the parameters in a two linear regression equations system with identical parameter vectors

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  • Ma, Tiefeng
  • Wang, Songgui

Abstract

For two normal linear models with some of the parameters identical, a new estimator of the parameters is proposed and its statistical property is established. Two seemingly unrelated regression models with identical parameters are also considered. An efficient feasible estimator is obtained.

Suggested Citation

  • Ma, Tiefeng & Wang, Songgui, 2009. "Estimation of the parameters in a two linear regression equations system with identical parameter vectors," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1135-1140, May.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:9:p:1135-1140
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    References listed on IDEAS

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    1. Liu, Aiyi, 1996. "Estimation of the parameters in two linear models with only some of the parameter vectors identical," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 369-375, September.
    2. Liu, Aiyi, 2002. "Efficient Estimation of Two Seemingly Unrelated Regression Equations," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 445-456, August.
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    Cited by:

    1. 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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