Ӧ�ø���ͳ�� 2009, 25(6) 619-631 DOI:      ISSN: 1001-4268 CN: 31-1256

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The Improved Estimates of Regression Coefficientsin Seemingly Unrelated Regression Model withTwo Equations
Ma Tiefeng,Wang Songgui
Statistics College, Southwestern University ofFinance and Economics,College of Applied Sciences, Beijing Universityof Technology
Abstract: For regression coefficients in seemingly unrelated
regression model with two equations, this paper obtains a two-stage
covariance improved estimator sequence by using the covariance
improved idea for reference. The condition under which this improved
estimator is equivalent to the classic two-stage estimator and the
optimal property on the term of mean square error are also obtained.
And then, by improving the two-stage estimator in the literature,
this paper derives a new improved estimator which shows small sample
property relative to least square estimator in more wide parameters
space. Through a ultimate way, this paper provides a new estimator
which have better small sample property. Finally, this paper
discusses the optimal property of two-stage estimator under the
Pitman criterion.
Keywords: Seemingly unrelated regression model   covarianceimproved estimation   two-stage estimator   Pitman criterion.  
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