Further Monte Carlo Evidence on Seemingly Unrelated Regressions with Unequal Number of Observations

Badi Baltagi, Susan Garvin and Stephen Kerman

Annals of Economics and Statistics, 1989, issue 14, 103-115

Abstract: Schmidt's [1977] results on seemingly unrelated regressions with unequal number of observations are replicated. These results are shown to be robust to the type of addtional observations available i. e., whether they are time series or cross-sectional in nature. An important finding is that the extra observations may lead to better estimates of the variance-covariance matrix SUM or its inverse, but this does not necessarily lead to better estimates of the regression coefficients.

Date: 1989
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1989:i:14:p:103-115

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