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Wang, Lichun; Singh, Radhey S.

An application of matrix power series to linear models. (English) Zbl 1319.62142

Commun. Stat., Theory Methods 41, No. 7-9, 1315-1333 (2012).
Summary: In the system of two seemingly unrelated regressions, employing a matrix power series, we show that the two-stage estimator is better than the ordinary least square estimator (OLSE) in terms of the mean square error matrix (MSEM) criterion. The result enriches the existing literature and can be applied to many fields of applications related to economics and statistics.

MSC:

62J05 Linear regression; mixed models
62F10 Point estimation

Keywords:

matrix power series; MSEM criterion; two-stage estimator
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References:

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