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The Exact Distribution of Zellner's SUR

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Abstract

This paper derives the exact finite sample distribution of the two-stage GLS (generalized least squares) estimator in a multivariate linear model with general linear parameter restrictions. This includes the seemingly unrelated regression (SUR) model as a special case and generalizes presently known exact results for the latter system. The usual classical assumptions are made concerning nonrandom exogenous variables and normally distributed errors.

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  • Peter C.B. Phillips, 1983. "The Exact Distribution of Zellner's SUR," Cowles Foundation Discussion Papers 680, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:680
    Note: CFP 625.
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    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d06/d0680.pdf
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    1. Phillips, P.C.B., 1984. "The exact distribution of the Stein-rule estimator," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 123-131.
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