Estimation of Seemingly Unrelated Regressions with Autoregressive Disturbances
自回归扰动下似不相关回归的估计
Joint estimation of a system of linear regression equations with mutually correlated disturbances leads, in general, to more efficient estimates than estimation of each equation separately. A method of joint estimation developed by Arnold Zeller on the assumption that the disturbances are non-autocorrelated has recently been adapted by Richard Parks for the case in which this assumption does not hold. In the present article we develop several alternative estimators and…