Estimation of a Linear Sur Model with Unequal Numbers of Observations Academic Article uri icon

abstract

  • This paper clarifies the differences in the alternative estimators of the error covariance matrix Σ in the SUR model with unequal numbers of observations. It identifies a sample statistic which represents their essential differences and hence is a useful guide for the choice of an estimator in practice. The paper also presents an alternative estimator of Σ based on the specification in Telser (1964).

author list (cited authors)

  • Hwang, H.

citation count

  • 10

publication date

  • August 1990

publisher