Seemingly Unrelated Regressions

This article considers the seemingly unrelated regression (SUR) model first analyzed by Zellner (1962). We describe estimators used in the basic model as well as recent extensions.

[1]  Denzil G. Fiebig,et al.  Seemingly Unrelated Regression , 2007 .

[2]  A. Zellner.  An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias , 1962 .

[3]  Michael Creel,et al.  SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form , 1996 .

[4]  O. Linton,et al.  Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach , 2000 .

[5]  Rolf Larsson,et al.  Likelihood-Based Cointegration Tests in Heterogeneous Panels , 2001 .

[6]  R. F. Gilbert,et al.  Small Sample Properties of Alternative Estimators of Seemingly Unrelated Regressions , 1968 .

[7]  J. MacKinnon,et al.  Estimation and inference in econometrics , 1994 .

[8]  N. Kakwani.  The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators , 1967 .

[9]  M. Ogaki,et al.  Seemingly Unrelated Canonical Cointegrating Regressions , 1991 .

[10]  H. Moon,et al.  Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity , 2005 .

[11]  Yoosoon Chang,et al.  Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency , 2004 .

[12]  V. K. Srivastava,et al.  Seemingly unrelated regression equations models : estimation and inference , 1987 .

[13]  A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors , 1999 .

[14]  P. Phillips.  An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator , 1977 .

[15]  Badi H. Baltagi,et al.  On Seemingly Unrelated Regressions with Error Components , 1980 .

[16]  H. Moon,et al.  Efficient Estimation of the SUR Cointegration Regression Model and Testing for Purchasing Power Parity , 2004 .

[17]  V. K. Srivastava,et al.  Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances , 1995 .

[18]  A. Zellner.  Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results , 1963 .

[19]  Dynamic Seemingly Unrelated Cointegrating Regression , 2005 .

[20]  Frank Kleibergen,et al.  Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models , 2003 .

[21]  Erricos John Kontoghiorghes,et al.  Seemingly Unrelated Regression Equations Models , 2000 .

[22]  William Kruskal,et al.  When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach , 1968 .