On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances
作者:
Hikaru Hasegawa,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1995)
卷期:
Volume 24,
issue 1
页码: 45-59
ISSN:0361-0918
年代: 1995
DOI:10.1080/03610919508813229
出版商: Marcel Dekker, Inc.
关键词: Zellner's estimator;Sur;compound normal distribution;matric t distribution
数据来源: Taylor
摘要:
In this paper we consider Zellner's estimator in the two SUR equations model used in Revankar (1974, 1976) when the disturbances are distributed as a matric variate compound normal distribution which includes a matric t distribution. We show the risks of the unrestricted and the restricted Zellner's estimators and derive the region where the restricted Zellner's estimator dominates the unrestricted one. As a result, we show that as the distribution of disturbances becomes far from the normal distribution, the region becomes small.
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