Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity

On the Efficiencies of Several Generaliz

On the Efficiencies of Several Generalized Least Squares Estimators in a Seemingly Unrelated Regression Model and a Heteroscedastic Model

✍ Hiroshi Kurata 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 102 KB

This paper investigates the efficiencies of several generalized least squares estimators (GLSEs) in terms of the covariance matrix. Two models are analyzed: a seemingly unrelated regression model and a heteroscedastic model. In both models, we define a class of unbiased GLSEs and show that their cov