Further Evidence on the Relative Efficiencies of Zellner's Seemingly Unrelated Regressions Estimator
作者:
J.S. Mehta,
P.A. V. B. Swamy,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1976)
卷期:
Volume 71,
issue 355
页码: 634-639
ISSN:0162-1459
年代: 1976
DOI:10.1080/01621459.1976.10481539
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper considers a system of two seemingly unrelated equations. Without imposing any additional restrictions on the matrices of observations on the independent variables in the two equations, we derive the exact second moments of Zellner's estimator [9]. Though not uniformly more efficient than the corresponding single-equation least-squares estimator, a definite efficiency gain results using Zellner's estimator in the presence of high contemporaneous correlation coefficient (ρ) between the disturbances in the two equations, and little loss results when the true ρ is small and the excess of the sample size over the number of distinct regressors in this system is greater than 12.
点击下载:
PDF (507KB)
返 回