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Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model

Published online by Cambridge University Press:  18 October 2010

G. H. Hillier  and
S. E. Satchell
G. H. Hillier
Affiliation:
Monash University, Clayton, Australia
S. E. Satchell
Affiliation:
University of Essex, Colchester, England
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Abstract

Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's unrestricted covariance matrix estimator, to which it reduces in these special cases.

Type
Research Article
Information
Econometric Theory , Volume 2 , Issue 1 , April 1986 , pp. 66 - 74
Copyright
Copyright © Cambridge University Press 1986 

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