On Sampling Distribution of Improved Estimators for Coefficients in Seemingly Unrelated Regression SUR Models
Keywords:
Seemingly unrelated regression models, K-Class estimators, Non Central Chi-Square distribution, Exact Bias.Abstract
The main objective of this study is to estimate the parameters of the SUR models. A new family of biased estimators, called k-class that has the same asymptotic normal distribution as the Aitken generalized least squares (GLS) with the assumption that the covariance matrix is known. The exact bias have been studied and derived.
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