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Seemingly unrelated systems of econometric equations

Author

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  • Eudoxia Kakarantza
  • Spyridon D. Symeonides

Abstract

A generalization of Zellner's SUR model is derived for sets of seemingly unrelated systems of econometric equations. The resulting structural form – worked out for a set of Cowles Commission-type simultaneous equations systems – is general enough to include any SUR-type or panel-type specification of systems of econometric equations with contemporaneously correlated errors. Maximum estimation efficiency is obtained by treating all the individual subsystems at once rather than in a subsystem-by-subsystem fashion.

Suggested Citation

  • Eudoxia Kakarantza & Spyridon D. Symeonides, 2017. "Seemingly unrelated systems of econometric equations," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(4), pages 667-684, March.
    • Handle: RePEc:taf:japsta:v:44:y:2017:i:4:p:667-684
    DOI: 10.1080/02664763.2016.1182131
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    References listed on IDEAS

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    1. Dhrymes, Phoebus J, 1973. "Small Sample and Asymptotic Relations Between Maximum Likelihood and Three Stage Least Squares Estimators," Econometrica, Econometric Society, vol. 41(2), pages 357-364, March.
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