Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model
- 1 April 1986
- journal article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 2 (1) , 66-74
- https://doi.org/10.1017/s0266466600011373
Abstract
Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's unrestricted covariance matrix estimator, to which it reduces in these special cases.Keywords
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