Sample Size Requirements for Estimation in SUR Models
AbstractThis paper explores sample size requirements for the estimation of SUR models by (two-stage) feasible generalized least squares, maximum likelihood and Bayesian methods. It is found that the sample size requirements presented in standard treatments of SUR models are incomplete and potentially misleading. It is also demonstrated that likelihood-based methods potentially require larger sample sizes than does the two-stage estimator considered in this paper.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 794.
Length: 18 pages
Date of creation: 2001
Date of revision:
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ECONOMETRIC MODELS ; ECONOMETRICS ; ESTIMATORS;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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