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| ITERATIVE QUASI-LIKELIHOOD FOR SEEMINGLY UNRELATED REGRESSION SYSTEMS |
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Citation： |
LIN Lu,FAN Yunzheng,DU Jun,YUAN Yuan.ITERATIVE QUASI-LIKELIHOOD FOR SEEMINGLY UNRELATED REGRESSION SYSTEMS[J].Chinese Annals of Mathematics B,2005,26(3):335~346 |
| Page view： 1062
Net amount： 822 |
Authors： |
LIN Lu; FAN Yunzheng;DU Jun;YUAN Yuan |
Foundation： |
Project supported by the National Natural Science Foundation of China (No.10371059, No.10171051). |
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| Abstract： |
In the seemingly unrelated regression systems, the existing quasi-likelihood is always involved in the difficult problem of calculating inverse of a high order matrix specially for large systems. To avoid this problem, the new quasi-likelihood proposed in this paper is based mainly on a linearly iterative process of some unbiased estimating functions. Some finite sample properties and asymptotic behaviours for this new quasi-likelihood are investigated. These results show that the new quasi-likelihood for parameter of interest is E-sufficient, iteratively efficient and approximately efficient. Some examples are given to illustrate the theoretical results. |
Keywords： |
Seemingly unrelated regression system, Quasi-likelihood, Unbiased estimating function |
Classification： |
62J02, 62F12 |
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