A note on the efficiency of seemingly unrelated regression

James K. Binkley, Charles H Nelson

Research output: Contribution to journalArticle

Abstract

The variance-covariance matrix for the seemingly unrelated regression estimator is expressed as an ordinary-least-squares variance-covariance matrix. This permits new insights into the efficiency of seemingly unrelated regression, especially the role of correlations among variables.

Original languageEnglish (US)
Pages (from-to)137-139
Number of pages3
JournalAmerican Statistician
Volume42
Issue number2
DOIs
Publication statusPublished - 1988

    Fingerprint

Keywords

  • Multicollinearity

ASJC Scopus subject areas

  • Mathematics(all)
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this