Sankhya: The Indian Journal of Statistics

1996, Volume 58, Series B, Pt. 1, pp. 51--56

ESTIMATION OF SEEMINGLY UNRELATED REGRESSIONS IN THE PRESENCE OF ERRORS OF OBSERVATIONS

By

MAITREYI CHAUDHURI, Visva-Bharati

SUMMARY.  A two equation SUR model has been considered. When an independent variable in one of the equations is measured with error. Generalised least squares estimators of the regression coefficients may lead to larger asymptotic biases as compared to single equation ordinary least squares estimators.

AMS (1980) subject classification. 62P20.

Key words and phrases. Errors of observations, generalised least squares estimators, ordinary least squares estimators.

Full paper (PDF)

This article in Mathematical Reviews