Improved Average Estimation in Seemingly Unrelated Regressions
In this paper, we propose an efficient weighted average estimator in Seemingly Unrelated Regressions. This average estimator shrinks a generalized least squares (GLS) estimator towards a restricted GLS estimator, where the restrictions represent possible parameter homogeneity specifications. The shr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-04-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/8/2/15 |