LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE

Fan, QL; Han, X; Pan, GM; Jiang, BB

Fan, QL (corresponding author), Xiamen Univ, MOE Key Lab Econometr, Wang Yanan Inst Studies Econ WISE, D312 Econ Bldg, Xiamen 361005, Peoples R China.; Fan, QL (corresponding author), Xiamen Univ, Sch Econ, D312 Econ Bldg, Xiamen 361005, Peoples R China.

ECONOMETRIC THEORY, 2020; 36 (3): 526

Abstract

In this article, using a shrinkage estimator, we propose a penalized quasi-maximum likelihood estimator (PQMLE) to estimate a large system of equation......

Full Text Link


Links

期刊讨论 | 中国SCI论文 | 期刊主页 | 投稿经验 | 杂志官网 | 投稿链接 | 作者需知 | PMC链接 | Pubmed全文检索