Efficient Estimation of a System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated
扰动同时存在序列相关与同期相关时回归方程组的有效估计
This paper considers the problem of obtaining efficient estimates for the parameters of a system of M regression equations. The disturbance terms of this system are assumed to be related by both serial and contemporaneous correlation. Under the further assumption that the serial correlation is a first order autoregressive process, the paper develops an estimator that is consistent and has the same asymptotic normal distribution as the Aitken estimator which assumes the…