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Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
Abstract
The finite sample properties of an asymptotically efficient technique (JASA, June, 1962) for estimating coefficients in certain generally encountered sets of regression equations are studied in this paper. In particular, exact first and second moments of the asymptotically efficient coefficient estimator are derived and compared with those of the usual least squares estimator. Further, the exact probability density function of the new estimator is derived and studied as a function of sample size. It is found that the approach to asymptotic normality is fairly rapid and that for a wide range of conditions an appreciable part of the asymptotic gain in efficiency is realized in samples of finite size.
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Cited by
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Pesaran, M. H. (2015) · Econometric Reviews · doi:10.1080/07474938.2014.956623 · Cited by 2,950
Parks, R. W. (1967) · Journal of the American Statistical Association · doi:10.1080/01621459.1967.10482923 · Cited by 1,188
(2004) · Springer Texts in Statistics · doi:10.1007/b98963 · Cited by 517
Estimation and hypothesis testing for seemingly unrelated regressions: A sociological application
Felmlee, D. H., & Hargens, L. L. (1988) · Social Science Research · doi:10.1016/0049-089x(88)90010-5 · Cited by 48
Van Oerle, S., Lievens, A., & Mahr, D. (2018) · Psychology & Marketing · doi:10.1002/mar.21111 · Cited by 43
Metadata
- Authors
- Zellner, A.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1963-12
- Volume
- 58
- Issue
- 304
- Pages
- 977-992
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2030459755
- Cited by
- 715
- References
- 0
- FWCI
- 3.01
- Type
- journal article
- Language
- en
- Open access
- closed
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- Zellner, A. (1963). Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results. Journal of the American Statistical Association. https://doi.org/10.1080/01621459.1963.10480681
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