Abstract
Revankar (1974, p. 190, equation (4.4)) obtains a result for the covariance matrices of the “Aitken” estimators of the regression coefficients parameter matrices of two SUR models. The present note supplies a simpler derivation of this result. It is obtained by using a known result in multivariate statistical analysis, see e.g., Sarkar (1981, p. 560, Theorem 3.1).
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Gupta, A.K., Kabe, D.G. A note on a result for two SUR models. Statistical Papers 39, 417–421 (1998). https://doi.org/10.1007/BF02927104
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DOI: https://doi.org/10.1007/BF02927104