Chapter 4. Efficiency of GLSE with Applications to SUR and Heteroscedastic Models

  1. Takeaki Kariya1 and
  2. Hiroshi Kurata2

Published Online: 8 SEP 2004

DOI: 10.1002/0470866993.ch4

Generalized Least Squares

Generalized Least Squares

How to Cite

Kariya, T. and Kurata, H. (2004) Efficiency of GLSE with Applications to SUR and Heteroscedastic Models, in Generalized Least Squares, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470866993.ch4

Author Information

  1. 1

    Kyoto University and Meiji University, Japan

  2. 2

    University of Tokyo, Japan

Publication History

  1. Published Online: 8 SEP 2004
  2. Published Print: 25 JUN 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470866979

Online ISBN: 9780470866993

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Summary

  • Overview

  • GLSEs with a Simple Covariance Structure

  • Upper Bound for the Covariance Matrix of a GLSE

  • Upper Bound Problem for the UZE in an SUR Model

  • Upper Bound Problems for a GLSE in a Heteroscedastic Model

  • Empirical Example: CO2 Emission Data

  • Problems