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SUR |
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1962, "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias," Journal of the American Statistical Association 57, 348-368. Equation 1 is estimated by feasible generalized least squares (GLS) seemingly unrelated regressions (SUR), with the number of lagged differences, k, determined by individual univariate ADF tests using the general-to-specific method suggested by Campbell and Perron (1991) and Ng and Perron (1995). This approach requires using a system estimation approach involving seemingly unrelated regressions (SURs) developed by Zellner (1962) to enhance the efficiency of the parameter estimates that ordinary least squares (OLS) fail to exploit. |
Seemingly unrelated regressions |
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