Title

The Exact Distribution of Zellner's SUR

Document Type

Discussion Paper

Publication Date

8-1-1983

CFDP Number

680

CFDP Pages

17

Abstract

This paper derives the exact finite sample distribution of the two-stage GLS (generalized least squares) estimator in a multivariate linear model with general linear parameter restrictions. This includes the seemingly unrelated regression (SUR) model as a special case and generalizes presently known exact results for the latter system. The usual classical assumptions are made concerning nonrandom exogenous variables and normally distributed errors.

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