One-sided tests for independence of seemingly unrelated regression equations
نویسندگان
چکیده
منابع مشابه
Bayesian Geoadditive Seemingly Unrelated Regression
Parametric seemingly unrelated regression (SUR) models are a common tool for multivariate regression analysis when error variables are reasonably correlated, so that separate univariate analysis may result in inefficient estimates of covariate effects. A weakness of parametric models is that they require strong assumptions on the functional form of possibly nonlinear effects of metrical covaria...
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We propose an efficient semiparametric estimator for the coefficients of a multivariate linear regression model — with a conditional quantile restriction for each equation — in which the conditional distributions of errors given regressors are unknown. The procedure can be used to estimate multiple conditional quantiles of the same regression relationship. The proposed estimator is asymptotical...
متن کاملBayesian Geoadditive Seemingly Unrelated Regression 1
Parametric seemingly unrelated regression (SUR) models are a common tool for multivariate regression analysis when error variables are reasonably correlated, so that separate univariate analysis may result in inefficient estimates of covariate effects. A weakness of parametric models is that they require strong assumptions on the functional form of possibly nonlinear effects of metrical covaria...
متن کاملUsing Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations
The usual standard errors for the regression coe cients in a Seemingly Unrelated Regression model have a substantial downward bias. Bootstrapping the standard errors does not seem to improve inferences. In this paper Monte Carlo evidence is reported which indicates that bootstrapping can result in substantially better inferences when applied to t-ratios rather than to standard errors. 3
متن کاملHighly accurate likelihood analysis for the seemingly unrelated regression problem
The linear and nonlinear seemingly unrelated regression problem with general error distribution is analyzed using recent likelihood theory that arguably provides the definitive distribution for assessing a scalar parameter; this involves implicit but well defined conditioning and marginalization for determining intrinsic measures of departure. Highly accurate p-values are obtained for the key d...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2004
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2003.09.003