LUB for the Covariance Matrix of a GLSE in Regression with Applications to an SUR Model and a Heteroscedastic Model

Hiroshi Kurata and Takeaki Kariya

Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: In a general normal regression model, this paper first derives the LUB(least upper bound)for the covariance matrix of a GLSE relative to the applied to the (unrestricted) Zellner estimator in the N-equation SUR model and to the GLSE in a heteroscedastic model.

Date: 1994-03
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hituec:a290

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