The New Palgrave Dictionary of Economics

Living Edition
| Editors: Palgrave Macmillan

Seemingly Unrelated Regressions

  • Hyungsik Roger Moon
  • Benoit Perron
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DOI: https://doi.org/10.1057/978-1-349-95121-5_2296-1
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Abstract

This article considers the seemingly unrelated regression (SUR) model first analysed by Zellner (1962). It describes estimators used in the basic model as well as recent extensions.

Keywords

Bootstrap Feasible generalized least squares estimator Quasi-maximum likelihood estimator Generalized least squares estimator Heteroskedasticity Heteroskedasticity and autocorrelation Minimum distance estimator Ordinary least squares estimator Seemingly unrelated regressions Vector autoregressions Zellner, A 

JEL Classifications

C30 
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Copyright information

© The Author(s) 2008

Authors and Affiliations

  • Hyungsik Roger Moon
    • 1
  • Benoit Perron
    • 1
  1. 1.