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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
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.
0266-4666
66-74
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Satchell, Steve
ec0ed887-d4a9-4953-86c2-8f2420b07076
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Satchell, Steve
ec0ed887-d4a9-4953-86c2-8f2420b07076

Hillier, Grant and Satchell, Steve (1986) Finite-sample properties of a two-stage single equation estimator in the SUR model. Econometric Theory, 2 (1), 66-74. (doi:10.1017/S0266466600011373).

Record type: Article

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: https://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: 13 Mar 2019 18:58

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