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                                       Details for article 13 of 18 found articles
 
 
  On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances
 
 
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
 
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