A Note on the Efficiency of Seemingly Unrelated Regression

Authors
Binkley, James K. Nelson, Carl H.
Citation
K. Binkley, James et H. Nelson, Carl, A Note on the Efficiency of Seemingly Unrelated Regression, American statistician , 42(2), 1988, pp. 137-139
Journal title
American statistician → ACNP
ISSN journal
00031305
Volume
42
Issue
2
Year of publication
1988
Pages
137 - 139
Database
ACNP
SICI code
Abstract
The variance-covariance matrix for the seemingly unrelated regression estimator is expressed as an ordinary-least-squares variance-covariance matrix.This permits new insights into the efficiency of seemingly unrelated regression, especially the role of correlations among variables.