Sample Size Requirements for Estimation in SUR Models
This 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.
|Date of creation:||2001|
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- Siddhartha Chib & Edward Greenberg, 1994.
"Markov Chain Monte Carlo Simulation Methods in Econometrics,"
9408001, EconWPA, revised 24 Oct 1994.
- Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
- Phillips, Peter C B, 1985. "The Exact Distribution of the SUR Estimator," Econometrica, Econometric Society, vol. 53(4), pages 745-756, July.
- repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
- Denzil Fiebig & Jae Kim, 2000. "Estimation and inference in sur models when the number of equations is large," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 105-130.
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