Finite-sample properties of a two-stage single equation estimator in the SUR model
Finite-sample properties of a two-stage single equation estimator in the SUR model
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.
66-74
Hillier, G.H.
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Satchell, S.E.
ec0ed887-d4a9-4953-86c2-8f2420b07076
April 1986
Hillier, G.H.
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Satchell, S.E.
ec0ed887-d4a9-4953-86c2-8f2420b07076
Hillier, G.H. and Satchell, S.E.
(1986)
Finite-sample properties of a two-stage single equation estimator in the SUR model.
Econometric Theory, 2 (1), .
(doi: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.
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Published date: April 1986
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Local EPrints ID: 417376
URI: http://eprints.soton.ac.uk/id/eprint/417376
ISSN: 0266-4666
PURE UUID: 4495158a-613f-4002-a628-81fa8316d0f8
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Date deposited: 30 Jan 2018 17:30
Last modified: 16 Mar 2024 02:42
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Author:
S.E. Satchell
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