The reduced form of recursive models: Small sample properties

H Schneeweiss - Linear algebra and its applications, 1996 - Elsevier
The reduced form of a recursive multiequation model can be estimated either directly by
ordinary least squares (OLS) or indirectly by first estimating the structural form, equation by …

The reduced form of recursive models: asymptotic properties

H Schneeweiß - Studies in Applied Econometrics, 1993 - Springer
It is well-know that the OLS estimator IT of the reduced form parameters n of an
interdependent econometric (simultaneous equations) model is inferior to an estimator IT …

The error of prediction for a simultaneous equation model

A Gorobets - Available at SSRN 463811, 2003 - papers.ssrn.com
One of the most important functions of a simultaneous equation model is prediction the
values of endogenous variables given the values of the predetermined variables and a lot of …

An approximation to maximum likelihood estimates in reduced models

DR Cox, N Wermuth - Biometrika, 1990 - academic.oup.com
An approximation to the maximum likelihood estimates of the parameters in a model can be
obtained from the corresponding estimates and information matrices in an extended model …

Seemingly unrelated regression models

L Kubáček - Applications of Mathematics, 2013 - Springer
The cross-covariance matrix of observation vectors in two linear statistical models need not
be zero matrix. In such a case the problem is to find explicit expressions for the best linear …

Effects of the estimation of covariance matrix parameters in the generalized multivariate linear model

GC Reinsel - Communications in Statistics-Theory and Methods, 1984 - Taylor & Francis
We Consider the generalized multivariate linear model and assume the covariance matrix of
the px 1 vector of responses on a given individual can be represented in the general linear …

Estimation in Multivariate Linear Models with Linearly Structured Covariance Matrices

J Nzabanita - 2012 - diva-portal.org
This thesis focuses on the problem of estimating parameters in multivariate linear models
where particularly the mean has a bilinear structure and the covariance matrix has a linear …

The reduced form of a block recursive model

H Schneeweiß, EO Maschke, M Pfannes - 2003 - econstor.eu
Various estimators of the reduced form of a block recursive model are investigated and
compared to each other. In particular it is shown that the structural reduced form estimator …

On a matrix identity associated with generalized least squares

FR De Hoog, TP Speed, ER Williams - Linear Algebra and its Applications, 1990 - Elsevier
This note discusses an identity which is useful in the construction of reduced generalized
least-squares equations, in the REML method of estimating variance components, and in …

and Nanny Wermuth

DR Cox - 1996 - books.google.com
An approximation to the maximum likelihood estimates of the parameters in a model can be
obtained from the corresponding estimates and information matrices in an extended model …