Vol.4 , No. 3, Publication Date: May 22, 2018, Page: 51-56
[1] | Salwa A. Hegazy, Applied Statistic and Econometrics Department, Institute of Statistical Studies & Research, Cairo University, Cairo, Egypt. |
This paper is to derive the bias & variance covariance matrix of Feasible Seemingly Unrelated Regression Model Estimator by using the methodology of Nagar's expansion for the moment of estimator, derivation consider the order of magnitude criteria, derived biased estimators to order OP(T-1) “that refer to big (O) in probability where (T) being the number of observations”, the Covariance matrix of the Feasible (SURE) estimator to order OP(T-2). This approximation in view of Nagar's procedure.
Keywords
Approximation Properties, (SUUR) Model, Covariance Matrix, (FSUR) Model, Nagar's Expansion
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