CFDP 680

The Exact Distribution of Zellner's SUR

Author(s): 

Publication Date: August 1983

Pages: 17

Abstract: 

This paper derives the exact finite sample distribution of the two-stage GLS (generalized least squares) estimator in a multivariate linear model with general linear parameter restrictions. This includes the seemingly unrelated regression (SUR) model as a special case and generalizes presently known exact results for the latter system. The usual classical assumptions are made concerning nonrandom exogenous variables and normally distributed errors.

See CFP: 625