Estimation of a Linear Sur Model with Unequal Numbers of Observations
The Review of Economics and Statistics
1990
This paper clarifies the differences in the alternative estimators of the error covariance matrix X in the SUR model with unequal numbers of observations. It identifies a sample statistic which represents their essential differences and hence is a useful guide for the choice of an estimator in practice. The paper also presents an alternative estimator of E based on the specification in Telser (1964).
- DOI
- 10.2307/2109360
- Volume
- 72 (3)
- Pages
- 510
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