REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS

Hailong Qian

Econometric Theory, 2008, vol. 24, issue 05, pages 1456-1460

Abstract: In this note, based on the generalized method of moments (GMM) interpretation of the usual ordinary least squares (OLS) and feasible generalized least squares (FGLS) estimators of seemingly unrelated regressions (SUR) models, we show that the OLS estimator is asymptotically as efficient as the FGLS estimator if and only if the cross-equation orthogonality condition is redundant given the within-equation orthogonality condition. Using the condition for redundancy of moment conditions of Breusch, Qian, Schmidt, and Wyhowski (1999, Journal of Econometrics 99, 89 368).

Date: 2008

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466608080687 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:05:p:1456-1460_08

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().