|
| << previous | next >> |
Journal description
All volumes of the corresponding journal
All issues of the corresponding volume
All articles of the corresponding issues
Details for article 13 of 18 found articles
| Title: |
On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances |
| Author: |
Hasegawa, Hikaru |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 24 (1995) nr. 1 pages 45-59 |
| Year: |
1995 |
| Contents: |
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. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 13 of 18 found articles
| << previous | next >> |