Seemingly unrelated systems of econometric equations |
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| Authors: | Eudoxia Kakarantza Spyridon D Symeonides |
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| Institution: | Department of Economics, University of Ioannina, Ioannina, Greece |
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| Abstract: | A generalization of Zellner's SUR model is derived for sets of seemingly unrelated systems of econometric equations. The resulting structural form – worked out for a set of Cowles Commission-type simultaneous equations systems – is general enough to include any SUR-type or panel-type specification of systems of econometric equations with contemporaneously correlated errors. Maximum estimation efficiency is obtained by treating all the individual subsystems at once rather than in a subsystem-by-subsystem fashion. |
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| Keywords: | SUR models simultaneous equations systems Cowles Commission estimation efficiency |
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