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A note on seemingly unrelated regression equations with residual vectors as explanatory variables

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  • Oksanen, E. H.

Abstract

This paper demonstrates the equivalence of two SURE models. In the first, the explanatory variables of the first equation form a subset of those in the second equation. The second model is identical except that its second equation is augmented with the OLS residual vector from the first equation. There is a computational advantage in obtaining maximum likelihood estimates from the second model.

Suggested Citation

  • Oksanen, E. H., 1987. "A note on seemingly unrelated regression equations with residual vectors as explanatory variables," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 103-105, November.
    • Handle: RePEc:eee:stapro:v:6:y:1987:i:2:p:103-105
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    Cited by:

    1. Drton, Mathias & Andersson, Steen A. & Perlman, Michael D., 2006. "Conditional independence models for seemingly unrelated regressions with incomplete data," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 385-411, February.

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    Keywords

    unrelated regression;

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