The Exact Distribution of Zellner's SUR
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.
|Date of creation:||Aug 1983|
|Publication status:||Published in Econometrica (July 1985), 53(4): 745-756|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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- Phillips, P.C.B., 1984.
"The exact distribution of the Stein-rule estimator,"
Journal of Econometrics,
Elsevier, vol. 25(1-2), pages 123-131.
- Peter C.B. Phillips, 1983. "The Exact Distribution of the Stein-Rule Estimator," Cowles Foundation Discussion Papers 682, Cowles Foundation for Research in Economics, Yale University.
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