Sample Size Requirements for Estimation in SUR Models

Duangkamon Chotikapanich, William Griffiths () and Christopher Skeels

No 794, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper explores sample size requirements for the estimation of SUR models by (two-stage) feasible generalized least squares, maximum likelihood and Bayesian methods. It is found that the sample size requirements presented in standard treatments of SUR models are incomplete and potentially misleading. It is also demonstrated that likelihood-based methods potentially require larger sample sizes than does the two-stage estimator considered in this paper.

Keywords: ECONOMETRIC MODELS; ECONOMETRICS; ESTIMATORS (search for similar items in EconPapers)
JEL-codes: C11 C13 C20 C30 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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