【摘要】 对于相依线性回归方程组成的系统.本文对它的回归系数的协方差改进估计(CIE)及其两步估计(TCIE)与最小二乘估计(LSE)进行了计算机模拟比较.模拟结果揭示了这种改进估计的估计的统计优良性.更多还原

【Abstract】 For the seemingly unrelated regression system, [1] proposes a new estimate of regression coefficients, called the covariance-improved estimate (OIE). This paper compares the estimate and its two-stage version (TCIE) with the singuly equation least-squares estimate (LSE) in term of computer simulation. The results show the efficiency of the OIE and TCIE with respect to the LSE. For the models used in the paper the two estimates have the priority over the LSE when there is considerable correlation among the error terms of the equations, e. g. ρij≥0.3, or the sample size is not too small, e. g. n≥25.更多还原