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Estimation of a dynamic system of seemingly unrelated regressions with autoregressive disturbances

โœ Scribed by David E. Spencer

Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
727 KB
Volume
10
Category
Article
ISSN
0304-4076

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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