[This paper demonstrates how a two or three component error structure can be used with seemingly unrelated regressions. Its application may be particularly useful with large panel data sets when the researcher wishes to estimate several equations simultaneously and believes that errors both between and within equations are correlated over time and across units. Relatively simple algorithms are presented for estimation of the error covariance matrix and generalized least squares coefficients.]

Edgeworth series expansions are obtained of the finite sample distributions of the least squares estimator and the associated t ratio test statistic in the context of a first-order noncircular stochastic difference equation. General formulae are given for these expansions up to 0(Th1) where T is the sample size and explicit representations of these in terms of the true parameters are derived up to 0(12). Some numerical comparisons of the approximations and the exact distributions are made in the case of the least squares estimator.

[Four conditions are shown to imply together that a solution function for two-person bargaining problems must equalize gains in some ordinal utility scales. These conditions are: weak Pareto optimality, strong individual rationality, composition, and uniformity. The composition condition relates to sequences of bargaining problems. The uniformity condition requires that the solution function must be invariant under enough ordinal utility transformationsto move any threat point to the origin.]

This paper examines conditions for the uniqueness of an equilibrium price distribution in stochastic macroeconomic models with rational expectations. A model is developed in which many price distributions, each with a finite variance, satisfy the equilibrium requirements of rationality. Hence, the condition that the variance of the equilibrium price distribution be finite, or equivalently, that the conditionally expected price path be stable, does not guarantee uniqueness. In such cases it is shown that an arbitrary random quantity which is widely publicized can become a leading indicator of prices and, consequently, influence the behavior of actual prices. However, by extending the finite variance (stability) condition to a minimum variance condition, these nonuniqueness problems can be avoided. Such stability or minimum variance conditions suggest a kind of collective rationality which, although not unreasonable, has not yet been fully analyzed in rational expectations models. 1.

P. C. B. Phillips, A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators, Econometrica, Vol. 45, No. 6 (Sep., 1977), pp. 1517-1534

E. B. Keeler, J. P. Newhouse, C. E. Phelps, Deductibles and the Demand for Medical Care Services: The Theory of a Consumer Facing a Variable Price Schedule under Uncertainty, Econometrica, Vol. 45, No. 3 (Apr., 1977), pp. 641-656