| 半相依回归模型两步估计的均方误差占优性 |
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| 引用本文： | 刘金山.半相依回归模型两步估计的均方误差占优性[J].五邑大学学报(自然科学版),2002,16(3):10-14. |
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| 作者姓名： | 刘金山 |
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| 作者单位： | 五邑大学,数学物理系,广东,江门,529020 |
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| 摘 要： | 一般得到了两方程相依回归模型的任一线性估计在均方误差准则下优于最小二乘估计的充要条件，据此提出一种新的广义非限定两步估计类（非线性），推导得到了这种两步估计的精确均方误差结果，研究了它优于最小二乘估计，甚至优于Zellner估计的统计性质。
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| 关 键 词： | 半相依回归模型 均方误差占优性 两步估计 预检验估计 均方误差准则 最小二乘估计 |
| 文章编号： | 1006-7302(2002)03-0010-05 |
| 修稿时间： | 2001年5月8日 |
MSEM Dominance of Estimators in Two Seemingly Unrelated Regressions |
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| LIU Jin-shan.MSEM Dominance of Estimators in Two Seemingly Unrelated Regressions[J].Journal of Wuyi University(Natural Science Edition),2002,16(3):10-14. |
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| Authors: | LIU Jin-shan |
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| Abstract: | For a system of two seemingly unrelated regression equations, a necessary and sufficient condition is obtained for a general linear estimator of the regression coefficients to be better than the LS estimator in terms of the mean square error matrix (MSEM) criterion. According to this result a class of two-stage estimators based on a generalized unrestricted estimate of the dispersion matrix is suggested. The exact MSEM of the two-stage estimator is derived,its superiorities over the LS estimator and even over the Aitken estimator introduced by Zellner (1963) are examined. An F-distribution statistic for testing MSEM-dominance is provided. |
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| Keywords: | seemingly unrelated regressions two-stage estimate pre-test estimate mean square error matrix criterion |
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