Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model

B-Tier
Journal: Econometric Theory
Year: 1986
Volume: 2
Issue: 1
Pages: 66-74

Authors (2)

Hillier, G. H. (University of Southampton) Satchell, S. E. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's unrestricted covariance matrix estimator, to which it reduces in these special cases.

Technical Details

RePEc Handle
repec:cup:etheor:v:2:y:1986:i:01:p:66-74_01
Journal Field
Econometrics
Author Count
2
Added to Database
2026-02-02