Estimation of a Linear Sur Model with Unequal Numbers of Observations
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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).
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