The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Seemingly Unrelated Regressions

  • Hyungsik Roger Moon
  • Benoit Perron
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2296

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

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

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