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 language||English (US)|
|Number of pages||3|
|State||Published - 1988|
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty