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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......

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