On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances (Q1059978)

The generalized least squares estimator for a seemingly unrelated regressions model with first-order vector autoregressive disturbances is outlined, and its efficiency is compared with that of an approximate generalized least squares estimator which ignores the first observation. A scalar index for the loss of efficiency is developed and applied to a special case where the matrix of autoregressive parameters is diagonal and the regressors are smooth. Also, for a more general model, a Monte Carlo study is used to investigate the relative efficiencies of various estimators. The results suggest that \textit{A. Maeshiro} [ibid. 12, 177-187 (1980; Zbl 0431.62062)] has overstated the case for the exact generalized least squares estimator, because, in many circumstances, it is only marginally better than the approximate generalized least squares estimator.