Existence of the Uniformly Minimum Risk Unbiased Estimator in Seemingly Unrelated Regression System

For a seemingly unrelated regression system with the assumption of normality, a necessary and sufficient condition for the existence of the Uniformly Minimum Risk Unbiased (UMRU) estimator of regression coefficients under strictly convex loss is obtained; it is proved that any unbiased estimator can not improve the least squares estimator; it is also shown that no UMRU estimator exists under missing observations.