Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors

Dong Wan Shin, Han Joon Kim and Won-Chul Jhee

Statistics & Probability Letters, 2007, vol. 77, issue 1, 75-82

Abstract: For seemingly unrelated regression (SUR) models with integrated regressors, two sufficient conditions are identified, under which the ordinary least-squares estimator (OLSE) is asymptotically efficient. The first condition is that every pair of regressor processes are cointegrated in a specific way that one regressor is a linear combination of the other regressor up to a zero-mean stationary error and the second condition is that, for every pair of regressor processes, the pair of error processes deriving the regressor processes have zero long-run covariance.

Keywords: Cointegration; Efficiency; Generalized; least-squares; estimator; Long-run; covariance (search for similar items in EconPapers)
Date: 2007
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