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

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  • Hillier, G. H.
  • Satchell, S. E.

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.

Suggested Citation

  • Hillier, G. H. & Satchell, S. E., 1986. "Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model," Econometric Theory, Cambridge University Press, vol. 2(1), pages 66-74, April.
    • Handle: RePEc:cup:etheor:v:2:y:1986:i:01:p:66-74_01
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    Cited by:

    1. Hillier, Grant & Kan, Raymond & Wang, Xiaolu, 2009. "Computationally Efficient Recursions For Top-Order Invariant Polynomials With Applications," Econometric Theory, Cambridge University Press, vol. 25(1), pages 211-242, February.

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