著者
HIKARU HASEGAWA
出版者
JAPANESE ECONOMIC ASSOCIATION
雑誌
The Economic Studies Quarterly (ISSN:0557109X)
巻号頁・発行日
vol.45, no.4, pp.306-320, 1994-12-20 (Released:2007-10-19)
参考文献数
11

In this paper, following Tiao, Tan and Chang (1977), we consider a constrained bivariate linear regression model and introduce two types of estimators after a preliminary test of independence of two equations. One of them is a pre-test estimator using an unrestricted estimator of covariance matrix and the other is one using a restricted estimator of covariance matrix. We derive their risks and compare sampling performances of several estimators.