Seemingly unrelated systems of econometric equations

Kakarantza Eudoxia; Symeonides Spyridon D.

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Seemingly unrelated systems of econometric equations

机译：看似无关的计量经济学方程组

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摘要

A generalization of Zellner's SUR model is derived for sets of seemingly unrelated systems of econometric equations. The resulting structural form - worked out for a set of Cowles Commission-type simultaneous equations systems - is general enough to include any SUR-type or panel-type specification of systems of econometric equations with contemporaneously correlated errors. Maximum estimation efficiency is obtained by treating all the individual subsystems at once rather than in a subsystem-by-subsystem fashion.

机译：Zellner SUR模型的一般推导是针对看似无关的计量经济学方程组的。最终的结构形式-为一套考尔斯委员会类型的联立方程组系统得出的-具有足够的通用性，可以包括具有相关误差的计量经济学方程组的任何SUR型或面板型规范。通过一次处理所有单个子系统而不是逐个子系统地获得最大的估计效率。

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来源
《Journal of applied statistics》 |2017年第4期|667-684|共18页
作者
Kakarantza Eudoxia; Symeonides Spyridon D.;
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作者单位

Univ Ioannina, Dept Econ, Ioannina, Greece;

Univ Ioannina, Dept Econ, Ioannina, Greece;

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原文格式 PDF
正文语种 eng
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关键词
SUR models; simultaneous equations systems; Cowles Commission; estimation efficiency;

机译：SUR模型;联立方程组;Cowles委员会;估计效率;

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Seemingly unrelated systems of econometric equations

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