Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
- 1 March 1974
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 69 (345) , 187
- https://doi.org/10.2307/2285521
Abstract
In this article, we consider a system of two “seemingly unrelated regression” equations (yi = Xiβi + ui, i = 1, 2) with , and examine some finite sample properties of β-estimators based on the unrestricted estimate S of Σ = (σij). The estimator of β2 is shown to be identical with the direct OLS estimator b 2 obtained from Equation 2. The estimator of β1 is shown to be more efficient than b 1, the direct OLS estimator of β1 obtained from Equation 1, for moderate departures of from zero; the efficiency, moreover, is shown to increase rapidly with the sample size for any given ρ.Keywords
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