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

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.

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Year of publication:	2009
Authors:	Ma, Tiefeng ; Wang, Songgui
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 9, p. 1135-1140
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023136