Seemingly unrelated regression models.
Seemingly unrelated regressions (SUR) proposed by \textit{A. Zellner} [J. Am. Stat. Assoc. 57, 348--368 (1962; Zbl 0113.34902)] are systems of equations that can be estimated one-by-one, but, due to a correlation among the error terms of the equations, efficient estimation is performed by generalized least squares applied to the whole system of equations. The estimation of SUR has been extensively studied by many authors and the presented work provides some explicit expressions for the special case of two regression equations with both univariate or multivariate responses. In particular, the formulas for the best linear unbiased estimator of the regression coefficients and estimates of the covariance structure (under homoscedasticity) are presented. Furthermore, the tests of equality of the coefficients in the two regression equations are derived. As the paper strictly concentrates on the statement and derivation of the results in the univariate and multivariate cases without more extensive discussion of more recent contributions to and developments of this stream of literature, an interested reader might complement the paper by reading, for example \textit{D.G. Fiebig} [Seemingly unrelated regression. B.H. Baltagi, A companion to theoretical econometrics. Blackwell Publishing Ltd, Malden, MA, USA (2007)].
- scientific article; zbMATH DE number 193897
- Publication:4721491
- scientific article; zbMATH DE number 3967769
- Some overall properties of seemingly unrelated regression models
- scientific article; zbMATH DE number 987374
- scientific article; zbMATH DE number 1222315
- Computational methods for modifying seemingly unrelated regressions models.
- scientific article; zbMATH DE number 1046396
- Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
- scientific article; zbMATH DE number 192910 (Why is no real title available?)
- scientific article; zbMATH DE number 1898277 (Why is no real title available?)
- scientific article; zbMATH DE number 3373921 (Why is no real title available?)
- On Seemingly Unrelated Regressions with Error Components
- Sum of Profiles Model with Exchangeably Distributed Errors
- Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
- A note on a result for two SUR models
- Some finite sample properties of Zellner estimator in the context of m seemingly unrelated regression equations
- Some overall properties of seemingly unrelated regression models
- The computation of test statistics for multivariate regression models in event studies
- Seemingly unrelated regressions with identical regressors: a note
- Predictions under a system of linear regression models with correlated errors
- Some remarks on a pair of seemingly unrelated regression models
- Best linear unbiased predictors and estimators under a pair of constrained seemingly unrelated regression models
- Establishing equalities of OLSEs and BLUEs under seemingly unrelated regression models
- SUR approach for IV estimation of canonical contagion models
- A novel approach for estimating seemingly unrelated regressions with high-order autoregressive disturbances
- scientific article; zbMATH DE number 987374 (Why is no real title available?)
- Median regression for SUR models with the same explanatory variables in each equation
- scientific article; zbMATH DE number 3852237 (Why is no real title available?)
- scientific article; zbMATH DE number 5073398 (Why is no real title available?)
- GIBBS SAMPLERS FOR A SET OF SEEMINGLY UNRELATED REGRESSIONS
- Unobserved variables. Models and misunderstandings
- scientific article; zbMATH DE number 3967769 (Why is no real title available?)
- Selecting estimators and variables in the seemingly unrelated regression model
- R2 in Seemingly Unrelated Regression Equations
- scientific article; zbMATH DE number 57065 (Why is no real title available?)
- scientific article; zbMATH DE number 193897 (Why is no real title available?)
- scientific article; zbMATH DE number 1222315 (Why is no real title available?)
- scientific article; zbMATH DE number 1054363 (Why is no real title available?)
- scientific article; zbMATH DE number 1376879 (Why is no real title available?)
- scientific article; zbMATH DE number 3994866 (Why is no real title available?)
- Seemingly unrelated regression on the autoregressive (Ar(p)) singular equation system
- A simulation study of estimators of sur models with unequal numbers of observationsand with non-normal disturbances
- scientific article; zbMATH DE number 857602 (Why is no real title available?)
- Seemingly unrelated regressions with covariance matrix of cross-equation ridge regression residuals
- Empirical likelihood for panel data models with spatial errors
- Seemingly unrelated systems of econometric equations
- On Bayesian analysis of seemingly unrelated regression model with skew distribution error
- Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models
- Seemingly unrelated reduced-rank regression model
This page was built for publication: Seemingly unrelated regression models.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950795)
