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Further Monte Carlo Evidence on Seemingly Unrelated Regressions with Unequal Number of Observations

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  • Badi H. Baltagi
  • Susan Garvin
  • Stephen Kerman

Abstract

Schmidt's [1977] results on seemingly unrelated regressions with unequal number of observations are replicated. These results are shown to be robust to the type of addtional observations available i. e., whether they are time series or cross-sectional in nature. An important finding is that the extra observations may lead to better estimates of the variance-covariance matrix SUM or its inverse, but this does not necessarily lead to better estimates of the regression coefficients.

Suggested Citation

  • Badi H. Baltagi & Susan Garvin & Stephen Kerman, 1989. "Further Monte Carlo Evidence on Seemingly Unrelated Regressions with Unequal Number of Observations," Annals of Economics and Statistics, GENES, issue 14, pages 103-115.
    • Handle: RePEc:adr:anecst:y:1989:i:14:p:103-115
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    File URL: http://www.jstor.org/stable/20075741
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    Cited by:

    1. Olivier Donni & Eleonora Matteazzi, 2012. "On the Importance of Household Production in Collective Models: Evidence from U.S. Data," Annals of Economics and Statistics, GENES, issue 105-106, pages 99-125.
    2. Ali Mehrabani & Aman Ullah, 2020. "Improved Average Estimation in Seemingly Unrelated Regressions," Econometrics, MDPI, vol. 8(2), pages 1-22, April.
    3. Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
    4. Hailong Qian & Heather L. Bednarek, 2015. "Partial efficient estimation of SUR models," Economics Bulletin, AccessEcon, vol. 35(1), pages 338-348.
    5. Sabyasachi Mohapatra & Arun Kumar Misra & Marimuthu Murali Kannan, 2020. "Risk factors explaining returns anomaly in emerging market banks – study on Indian banking system," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 417-433, July.
    6. Viale, Ariel M. & Kolari, James W. & Fraser, Donald R., 2009. "Common risk factors in bank stocks," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 464-472, March.
    7. Valerie Mueller & Glenn Sheriff, 2010. "On Hedonic Valuation of Urban Amenities Using Unbalanced Data," Land Economics, University of Wisconsin Press, vol. 86(3).

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