Abstract
A set of multiple regression models whose error terms have possibly contemporaneous correlations is called a seemingly unrelated regression model. In this paper, a best equivariant estimator of the regression vector under risk matrix is established in a seemingly unrelated regression model. It should be noted that an estimator optimal with respect to risk matrix remains optimal under a broad range of quadratic loss functions. A generalized least squares expression of our estimator is also presented.
Original language | English |
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Journal | Statistical Papers |
DOIs | |
Publication status | Accepted/In press - 2021 |
Keywords
- Elliptically symmetric distribution
- Equivariant estimator
- Generalized least squares
- Risk matrix
- Seemingly unrelated regression model
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty