Tests for the Independence Between Two Seemingly Unrelated Regression Equations
Tests for the Independence Between Two Seemingly Unrelated Regression Equations
When the error terms in two different regression equations are correlated, Zellner proposed an alternative estimator for the coefficients of each equation based on an estimated covariance matrix between the two error terms. However, since an estimated covariance matrix is used, the OLSE seems better than Zellner's estimator when the …