A note on seemingly unrelated regression equations with residual vectors as explanatory variables

E. H. Oksanen

Statistics & Probability Letters, 1987, vol. 6, issue 2, 103-105

Abstract: This paper demonstrates the equivalence of two SURE models. In the first, the explanatory variables of the first equation form a subset of those in the second equation. The second model is identical except that its second equation is augmented with the OLS residual vector from the first equation. There is a computational advantage in obtaining maximum likelihood estimates from the second model.

Keywords: unrelated; regression (search for similar items in EconPapers)
Date: 1987
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