A note on seemingly unrelated regression equations with residual vectors as explanatory variables

This paper demonstrates the equivalence of two SURE models. In the first, the explanatory variables of the first equation form a subset of those in the second equation. The second model is identical except that its second equation is augmented with the OLS residual vector from the first equation. There is a computational advantage in obtaining maximum likelihood estimates from the second model.

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Year of publication:	1987
Authors:	Oksanen, E. H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 6.1987, 2, p. 103-105
Publisher:	Elsevier
Subject:	unrelated regression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319479