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A method for approximations to the pdf'S and cdf'S of GLSE's and its application to the seemingly unrelated regression model

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Abstract

This paper first develops a valid method for approximations to the pdf's and cdf's of GLSE in linear models and, applying this method to the Zellner estimator with an unrestricted sample covariance in the seemingly unrelated regression model, obtains an approximate pdf with a bound of ordern −2 and an approximate covariance matrix with a bound of ordern −3

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Authors
  1. Takeaki Kariya
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  2. Koichi Maekawa
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Additional information

This research was done at the London School of Economics while the authors were British Council scholars. Kariya is grateful to Professor J. Durbin for a general discussion on asymptotic expansions. Further the authors deeply appreciate Professor Y. Kataoka and anonymous referee for their invaluable comments and suggestions.

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Kariya, T., Maekawa, K. A method for approximations to the pdf'S and cdf'S of GLSE's and its application to the seemingly unrelated regression model. Ann Inst Stat Math 34, 281–297 (1982). https://doi.org/10.1007/BF02481027

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  • DOI: https://doi.org/10.1007/BF02481027

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