On seemingly unrelated regressions with uniform correlation error

Abstract

For the system of two seemingly unrelated regressions with uniform correlation error, we present an estimator sequence for regression parameter and further indicate the sequence converges to a limiting expression. In the case that the variance-covariance matrix of the error variables is unknown, a simpler two-stage estimator is proposed and it is shown that it is preferred based on its small sample properties and some numerical illustrations.

Keywords:

• Seemingly unrelated regressions
• covariance adjustment
• two-stage estimator

Acknowledgements

The authors are grateful to both reviewers and the editor for their valuable comments and suggestions.

Additional information

Funding

This work was supported by NNSF of China (11371051).