Abstract
In this paper, we consider a system of seemingly unrelated regression equations: with
where the symbol
denotes the linear space spanned by all the column vectors of matrix
Some exact finite sample results of Zellner’s two-stage β-estimators are extended under multivariate normal and multivariate t distributions of the disturbances, respectively. It is found that when
the relevant information among
can increase the efficiency of the two-stage estimator of βi, and this efficiency increases with the sample size n, where
is the multiple correlation coefficient between yi and