Partial efficient estimation of SUR models

Hailong Qian () and Heather Bednarek ()
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Hailong Qian: Saint Louis University
Heather Bednarek: Saint Louis University

Economics Bulletin, 2015, vol. 35, issue 1, 338-348

Abstract: In this paper, we consider efficient estimation of coefficients of interest in seemingly unrelated regressions (SUR) models. Using the GMM interpretation of the usual OLS and GLS/FGLS estimation of regression coefficients in SUR models, we derive the necessary and sufficient condition for the equal asymptotic efficiency of the OLS and FGLS estimators of a subset of regression coefficients. As a result, our paper extends the current SUR literature on the numerical equality of the OLS and GLS/FGLS estimators of the whole coefficient vector (see for example, Dwivedi and Srivastava, 1978) to the asymptotic equivalence of the OLS and GLS/FGLS estimators of a subset of the coefficient vector.

Keywords: SUR models; OLS; GLS; FGLS; GMM; Moment conditions; Partial redundancy of moment conditions (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2015-03-11
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Citations: View citations in EconPapers (1)

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