LUB for the Covariance Matrix of a GLSE in Regression with Applications to an SUR Model and a Heteroscedastic Model

In a general normal regression model, this paper first derives the LUB(least upper bound)for the covariance matrix of a GLSE relative to the applied to the (unrestricted) Zellner estimator in the N-equation SUR model and to the GLSE in a heteroscedastic model.

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Year of publication:	1994-03
Authors:	Kurata, Hiroshi ; Kariya, Takeaki
Institutions:	Institute of Economic Research, Hitotsubashi University

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Series:	Discussion Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005574149