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.
Recommended Citation
Phillips, Peter C.B., "The Exact Distribution of Zellner's SUR" (1983). Cowles Foundation Discussion Papers. 913.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/913