On Some Generalization of Seemingly Unrelated Regression Equation Models

Proceedings of 2nd International Workshop on Computacional and Financial Econometrics and 1st Workshop of the ERCIM Working Group on Computing and Statistics 2008
Aleksandrs Andronovs, Diāna Santalova, Andrey Svirchenkov

Seemingly unrelated regression model proposed by Zellner (1962) is appropriate and useful for a wide range of applications in the econometrics. In this paper some generalization of the model is considered. Separate observations are supposed not to contain the information about all response variables but about a part of them only. Unbiased estimate for a covariance matrix of the model is obtained. Numerical and econometric examples are considered.

Keywords
Multivariate regression, Seemingly unrelated regression

Andronovs, A., Santalova, D., Svirchenkov, A. On Some Generalization of Seemingly Unrelated Regression Equation Models. In: Proceedings of 2nd International Workshop on Computacional and Financial Econometrics and 1st Workshop of the ERCIM Working Group on Computing and Statistics, Switzerland, Neuchatel, 19-21 June, 2008. Neuchatel: European Research Consortium for Informatics and Mathematics, 2008, pp.51-51.

Publication language
English (en)