THE BIAS OF OLS, GLS, AND ZEF ESTIMATORS IN DYNAMIC SEEMINGLY UNRELATED REGRESSION-MODELS

Authors
KIVIET JF PHILLIPS GDA SCHIPP B
Citation
Jf. Kiviet et al., THE BIAS OF OLS, GLS, AND ZEF ESTIMATORS IN DYNAMIC SEEMINGLY UNRELATED REGRESSION-MODELS, Journal of econometrics, 69(1), 1995, pp. 241-266
Citations number
12
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
69
Issue
1
Year of publication
1995
Pages
241 - 266
Database
ISI
SICI code
0304-4076(1995)69:1<241:TBOOGA>2.0.ZU;2-2
Abstract
Asymptotic expansions are employed to derive and compare O(T-1) approx imations to the biases of the OLS, systems GLS, and Zellner's efficien t estimators for a system of seemingly unrelated dynamic regression eq uations. The bias approximations are used to construct estimators whic h are unbiased to O(T-1) and the performance of these bias corrected e stimators is examined and compared through Monte Carlo simulation of a two equation model.