Seemingly unrelated regressions with identical regressors: a note

被引：10

作者：

Bhattacharya, D ^{[1
]}

机构：

[1] Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA

来源：

ECONOMICS LETTERS | 2004年 / 85卷 / 02期

关键词：

SUR; bivariate normal; likelihood;

D O I：

10.1016/j.econlet.2004.04.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

I show that in a seemingly unrelated, multivariate normal model with identical regressors, where some equations are linear and others are in the limited dependent variable (LDV) form, joint MLE can lead to efficiency gains for parameters of the LDV equations but not for parameters of the linear equations. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：247 / 255

页数：9