Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model
SUR 模型中两阶段单方程估计量的有限样本性质
Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's…