Seemingly Unrelated Regression Equations Models : Estimation and Inference

著者名：Srivastava, Virendera K./Giles, David E.A.

CRC Press（2020/08/13発売）

• 言語：ENG
• ISBN：9780824776107
• eISBN：9781000148930
• NDC分類：331.19078

Description

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.

Table of Contents

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