MSEM Comparisons in Estimating Two Seemingly Unrelated Regressions
Jun S. Liu · Journal of Biomathematics · 2002
For a system of two seemingly unrelated regressions, some general results of mean square error matrix comparisons are presented. A class of linear estimators and a class of two-stage estimators based on a generalized unrestricted estimate of the dispersion matrix are proposed. Some exact finite sample properties of the two-stage estimators are obtained.