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Two stage Estimators of the Regression Coefficients in SURS with Unequal Numbers of Observations

Ding Shuliang (Department of Computer,Jiangxi Normal University,Nanchang 330027)  
The focus of this paper is to discuss the statistical properties of several two stage estimators of the regression coefficients (β) in seemingly unrelated regression system with unequal numbers of observations(SURS(UNO)) when the covariance matrix unknown.For m=2,the Mntor Carlo study with 3 factors 48 levels combinations and the statistical test are considered.The following facts are discorved: (1)Though Zellner's estimator of β is BLUE when  is known,two stage Zellner's estimator(TZE) is not so good when  is unknown and using ^ which was recommended by Schmidt,as a substitute for ,especially,when the correlation coefficient,which is defined by  in Monte Carlo study,is very high(0.948). (2)Usually,the behavior of two stage generalized covariance improvement estimate(TGCIE) of β is better than that of TZE under some criterion. (3)The following factors,such as the methods of estimating β or ,the choices of design matrices or the covariance matrix  in the expe-riments of Monte Carlo study,effect the statistical properties of two stage estimator in some extent.
【Fund】: 江西省自然科学基金
【CateGory Index】: O212.1
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