经济计量学 seemingly unrelated regression 分析与应用.pptVIP

AppliedEconometricsWilliamGreeneDepartmentofEconomicsSternSchoolofBusiness第1页

AppliedEconometrics18.SeeminglyUnrelatedRegressions第2页

SettingTheclassicalregressionmodel,yi=Xi?i+?i.AppliestoeachofMequationsandTobservations.Familiarexample:Thecapitalassetpricingmodel: rit-rft=?i+?i(rmt–rft)+?itNotquitethesameasourpaneldatamodel.Misusuallysmall-say3or4.(TheCAPMmighthaveMinthethousands,butitisaspecialcaseforotherreasons.)第3页

FormulationConsideranextensionofthegroupwiseheteroscedasticmodel: