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216.73.217.53
216.73.217.53
KCI 등재 SCOPUS
Application of covariance adjustment to seemingly unrelated multivariate regressions
( Lichun Wang ) , ( Lawrence Pettit )
UCI I410-ECN-0102-2019-300-001408277
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Employing the covariance adjustment technique, we show that in the system of two seemingly unrelated multivariate regressions the estimator of regression coefficients can be expressed as a matrix power series, and conclude that the matrix series only has a unique simpler form. In the case that the covariance matrix of the system is unknown, we define a two-stage estimator for the regression coefficients which is shown to be unique and unbiased. Numerical simulations are also presented to illustrate its superiority over the ordinary least square estimator. Also, as an example we apply our results to the seemingly unrelated growth curve models.

1. Introduction
2. The characteristics of matrix series
3. The properties of two-stage estimator
4. An illustrating example
5. Concluding remarks
Acknowledgements
References
[자료제공 : 네이버학술정보]
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