Mehrabani, Ali; Ullah, Aman - In: Econometrics : open access journal 8 (2020) 2/15, pp. 1-22
In this paper, we propose an efficient weighted average estimator in Seemingly Unrelated Regressions. This average estimator shrinks a generalized least squares (GLS) estimator towards a restricted GLS estimator, where the restrictions represent possible parameter homogeneity specifications. The...
