The Exact Distribution of Zellner's SUR

Peter Phillips

No 680, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper derives the exact finite sample distribution of the two-stage GLS (generalized least squares) estimator in a multivariate linear model with general linear parameter restrictions. This includes the seemingly unrelated regression (SUR) model as a special case and generalizes presently known exact results for the latter system. The usual classical assumptions are made concerning nonrandom exogenous variables and normally distributed errors.

Pages: 17 pages
Date: 1983-08
Note: CFP 625.
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Published in Econometrica (July 1985), 53(4): 745-756

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