Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results

By A. Zellner. 1963

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

The Tourism Forecasting Competition (2011, methodology): “The restricted VARs are estimated using the seemingly unrelated regression estimation method (Zellner, 1963), as not all equations include the same regressors.”
Immigration Effects on Homicide Offending For Total and Race/Ethnicity-Disaggregated Populations (White, Black, and Latino) (2009, methodology): “…levels of homicide among Whites, Latinos, and Blacks.9 Last, we repeated all models using SUR procedures commonly used in aggregatelevel studies of crime to assess differences in effects of structural predictors across population groups (Schwartz, 2006; Steffensmeier & Haynie, 2000; Zellner, 1963).”
The Interactional Relationships Between Credit Risk, Liquidity Risk and Bank Profitability in MENA Region (2020, unknown): “Based on the previous studies (Felmlee & Hargens, 1988; Kim & Cho, 2019; Kmenta, 1971; Zellner, 1962, 1963), the general specification of SUR simultaneous equation systems can be represented as follows: Y1 = β11 + β12 X12 + β13 X13 + …………… + β1K X1K1 + ε1 (1) Y2 = β21 + β22 X12 + β23 X23 + …………… +…”
Nonparametric seemingly unrelated regression (2000, unknown): “Zellner (1962, 1963) provides the seminal analysis of a system of regressions when the unknown functions f i are assumed linear in the coe$cients.”
Stochastic portfolio specific mortality and the quantification of mortality basis risk (2009, unknown): “Let's assume that the country population mortality is driven by m factors of which the processes α t can be written as: (2.15) 1,...., k t k k k X k m α α α α η ε = + = Now when the historical observation period is equal for the country mortality rates and the portfolio mortality experience factors,”
VARMA versus VAR for Macroeconomic Forecasting (2008, methodology): “The restricted models are estimated using the seemingly unrelated regression estimation method (Zellner 1963) as not all equations include the exact same regressors.”
Seemingly Unrelated Regressions (2006, background): “Finite sample properties of SURE have been studied extensively either analytically in some restrictive cases (e.g. Zellner, 1963, 1972, Kakwani, 1967), by asymptotic expansions (e.g. Phillips, 1977 and Srivastava and Maekawa, 1995) or by simulation (e.g Kmenta and Gilbert, 1968).”
Evaluating Government Bond Fund Performance with Stochastic Discount Factors (2006, unknown): “The table shows that over the sample period of Panel B used for model diagnostics, high short-term interest rates predict relatively high and volatile short term bond returns, and lower and more volatile long-term bond returns. This is consistent with studies such as Fama and Schwert (1977) and Fers”
Post-Baccalaureate Wage Growth within Four Years of Graduation: The Effects of College Quality and College Major (2005, methodology): “…94 97 94 97 94 97 94 97 0 0 i i i i i i X X Y Y ε ε β β (Equation 5) Zellner’s seeming unrelated regression estimator (Zellner, 1962, Zellner and Huang, 1962, and Zellner, 1963) is used to estimate this system of equations along with the asymptotically efficient, feasible generalized least-squares…”
Efficiency of two-step estimators for censored systems of equations: Shonkwiler and Yen reconsidered (2005, methodology): “Then, in the second stage, the system yit ¼ z0it̂i x0it i þ i z0it̂i þ it i ¼ 1, . . . ,m ð7Þ is estimated by standard SUR (Seemingly Unrelated Regression Equations, see Zellner (1963) for the SUR model) using the whole sample, including the censored observations.”
Factorial Survey Methods for Studying Beliefs and Judgments (2006, background): “…tests, and propose ways of estimating Type IV and Type V equations—incorporating such advances as seemingly unrelated regression estimators (Zellner 1962, 1963) and random-parameters estimators (Hildreth and Houck 1968; Swamy 1970) for the Type II and Type III equations and joint…”
Modelling and Forecasting Australian Domestic Tourism (2006, methodology): “Then, because we expect that the errors across equations will be contemporaneously correlated and because not all equations include the same regressors, the system was estimated efficiently using the SUR estimation method (Zellner, 1963).”