Seemingly unrelated systems of econometric equations

Eudoxia Kakarantza and Spyridon D. Symeonides

Journal of Applied Statistics, 2017, vol. 44, issue 4, 667-684

Abstract: A generalization of Zellner's SUR model is derived for sets of seemingly unrelated systems of econometric equations. The resulting structural form – worked out for a set of Cowles Commission-type simultaneous equations systems – is general enough to include any SUR-type or panel-type specification of systems of econometric equations with contemporaneously correlated errors. Maximum estimation efficiency is obtained by treating all the individual subsystems at once rather than in a subsystem-by-subsystem fashion.

Date: 2017
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DOI: 10.1080/02664763.2016.1182131

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