Abstract
This article considers the seemingly unrelated regression (SUR) model first analysed by Zellner (1962). It describes estimators used in the basic model as well as recent extensions.
Keywords
- Bootstrap
- Feasible generalized least squares estimator
- Quasi-maximum likelihood estimator
- Generalized least squares estimator
- Heteroskedasticity
- Heteroskedasticity and autocorrelation
- Minimum distance estimator
- Ordinary least squares estimator
- Seemingly unrelated regressions
- Vector autoregressions
- Zellner, A
JEL Classifications
This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume
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Moon, H.R., Perron, B. (2008). Seemingly Unrelated Regressions. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2296-1
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DOI: https://doi.org/10.1057/978-1-349-95121-5_2296-1
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Publisher Name: Palgrave Macmillan, London
Online ISBN: 978-1-349-95121-5
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