The seemingly unrelated regression model proposed by Zellner (1962) is appropriate and useful for a wide range of applications. For the case where separate observations do not contain information concerning all response variables, in this paper, the ordinary least squares method is used for the construction of unbiased estimators for the covariance matrix. On this basis, predictions are constructed for the sum of responses in future observations.
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Translated from Statisticheskie Metody Otsenivaniya i Proverki Gipotez, Vol. 23, pp. 190–199, 2011
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Andronov, A. Simple Unbiased Estimators for Seemingly Unrelated Regressions with Incomplete Data. J Math Sci 267, 139–145 (2022). https://doi.org/10.1007/s10958-022-06116-z
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DOI: https://doi.org/10.1007/s10958-022-06116-z