The risk properties of a pretest estimator for zellners seemingly unrelated regression model, discussion paper 199159, tilburg university, center for economic research. Tilburg university the risk properties of a pretest. Zellners seemingly unrelated regression and an illustration of the efficiency gain. Seemingly unrelated regressions a seemingly unrelated regression sur system comprises several individual relationships that are linked by the fact that their disturbances are correlated. What kind of theoretical structure produces a sur dgp. The steps involved in using the isur estimator are as follows. The m equations have no link or relationship with one another except that their disturbances are said to be correlated. The seemingly unrelated regressions model had been proposed a decade prior by zellner 1962 and theil with zellner, 1962, but the model did not appear in wide use until the appearance of lsq. On the efficiency of some estimators for modeling seemingly. X, then the joint solution is identical to, and provides no improvement over, the equationbyequation solution. Lecture 7 seemingly unrelated regressions the complete model may be written as. Using this command, we specify equations for dependent variables y1. This common factor causes contemporaneous correlation only.
B, further evidence on the relative efficiencies of zellners seemingly unrelated regressions estimator, journal of the 8 revankar, n. On a rainy night in seattle in about 1956 or 1957, i somehow got the idea of. Zellners seemingly unrelated regressions model university of. The most popular method in estimating w is zellners method. Estimation and hypothesis testing for seemingly unrelated. We devised a specific model for each time point, and this formulation introduced a system of correlated equations with different covariates at each observation time, some of which simultaneously could have timeinvariant predictor variables such as sex. Title sureg zellners seemingly unrelated regression. Estimate the parameters of the big equation using zellner s sur estimator described above. Zellner 1962 formulated seemingly unrelated regression sur models as p correlated regression equations. Consider two dependent variables that are considered as a group because they bear a close conceptual relationship to one another. Seemingly unrelated regressions and robust covariance matrix post by eviews glenn wed feb 17, 2010 8. They are seemingly unrelated as none of the endogenous. In econometrics, the seemingly unrelated regressions sur.
This article gives a bound for the covariance matrix of zellners estimator with the unrestricted sample covariance matrix in the two equations seemingly unrelated regression sur model, and a. Sur models seemingly unrelated regression sur models as a. The seemingly unrelated regressions sur model, proposed by zellner, can be viewed as a special case of the generalized regression model e yx. An approximation to the finite sample distribution of zellners seemingly unrelated regression estimator, journal of econometrics 6, 147164. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. An easy and accurate regression model for multiparty. Abstract the purpose of the present note is to demonstrate the unbiasedness of zellners seemingly unrelated regression equations estimators under fairly general conditions. Mar 10, 20 for the love of physics walter lewin may 16, 2011 duration. The procedure went an important step further in that it allowed the zellner estimator to be extended to nonlinear systems of equations. The seemingly unrelated regressions sur model explains the variation of not just one dependent variable, as in the univariate multiple regression model, but the variation of a set of m dependent variables. Pdf brief introduction seemingly unrelated regression sur. This model or is based on zellners seemingly unrelated regression model. In a panel data, in order to estimate a seemingly unrelated regression, would it be possible to use sureg.
The unbiasedness of zellners seemingly unrelated regression equations estimators. Some properties are discussed of mcelroys measure of goodness of fit for zellners seemingly unrelated regression equations mc elroy, 1977. Application of seemingly unrelated regression in medical data. For the love of physics walter lewin may 16, 2011 duration. When the objective is to explain the whole system, there may be more than one multiple regression equations. Estimators for seemingly unrelated regression equations. Estimator for zellners seemingly unrelated regression model by ahmet zcam, george judge, anil bera and thomas yancey,q tojqj, reprinted from journal of ouantitative economics, vol. We need a model where there is a specific, heteroscedastic i factor and a common factor to all individuals. Zellners 1962 idea is to combine these seemingly unrelated regressions. This is indeed the concept of zellners seemingly unrelated regression estimator, implemented in stata as sureg. Pdf brief introduction seemingly unrelated regression. A note on the estimation of seemingly unrelated regression systems. The acronyms sure and sur are often used for the estimator. Since the publication of zellners original paper 1962 on the estimation of seemingly unrelated regression equations, a number of papers have appeared that deal with various aspects of the finite sample distribution of the seemingly unrelated regression estimator sure in this model.
Estimation of seemingly unrelated regressions with random. In fact, taking account of the correlation of the error terms across equations led to new estimates that are asymptotically more effi. The unbiasedness of zellners seemingly unrelated regression. The two feasible seemingly unrelated regression estimator. An introduction and lecture notes on random effects models with a rem example. There are many economic arguments or phenomenon which best described by a seemingly unrelated regression equation system. Econometrics seemingly unrelated regressions sur youtube.
However, they generally restricted themselves to the case of single equation model. An efficient method of estimating seemingly unrelated. For example, demand functions can be estimated for di. R2 in seemingly unrelated regression equations neudecker. Dec 15, 2016 this article considers the seemingly unrelated regression sur model first analysed by zellner 1962. Seemingly unrelated regressions with covariance matrix of crossequation ridge regression residuals article pdf available in communication in statistics theory and methods september 2017. Seemingly unrelated regression sur equations is a system of m multiple regression equations in which each equation has a single dependent and k k. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias arnold zellner university of wisconsin, usa pages 348368. The number of observations r is assumed to be large, so that in the analysis we take r. Use the parameter estimates from this regression to compute the residuals for each of the nequations. Pdf seemingly unrelated regressions with covariance. The risk properties of a pretest estimator for zellners. The seemingly unrelated regressions sur model, proposed by zellner, can be viewed as a special case of the generalized regression model eyx. Seemingly unrelated regressions and robust covariance matrix.
Error terms of different equations are correlated amongst each other. Eine seeminglyunrelatedregressionsanalyse econstor. The seemingly unrelated regressions s ur model explains the variation of not just one dependent variable, as in th e univariate multiple regression model, but the. Estimator for zellners seemingly unrelated regression model pf6 5i 9z by ahmet 0zcam, george judge, anil bera and thomas yancey november 1991 1ssn o9247815.
James thronton 20 has noted that seemingly unrelated regression sur is one of four. Optimality of least squares in the seemingly unrelated regression equation model. Seemingly unrelated regressions we begin our discussion of systems of equations with a system that is not simultaneous in nature. It describes estimators used in the basic model as well as recent extensions.
Chapter 18 seemingly unrelated regression equations models a basic nature of the multiple regression model is that it describes the behaviour of a particular study variable based on a set of explanatory variables. Under seemingly unrelated regression, this iteration converges to the maximum likelihood results. We adopt a classical perspective, although much bayesian analysis has been done with this model including. Mark beasley university of alabama at birmingham multivariate regression requires the design matrix for each of p dependent variables to be the same in form. Chapter 18 seemingly unrelated regression equations models. Seemingly unrelated regressions sur 1 examples demand for some commodities. Powell department of economics university of california, berkeley overview like zellners seemingly unrelated regression models, the dependent and explanatory variables for panel data models or pooled cross section and time series models are typically denoted using two or. The seemingly unrelated regression sur method, also known as the multivariate regression, or zellners method, estimates the parameters of the system, accounting for heteroskedasticity and contemporaneous correlation in the errors across equations. Aside from this conceptual relationship, the two linear regression models have. The seemingly unrelated regressions sur model, proposed by zellner, can be viewed as a special case of the generalized regression model ey. Seemingly unrelated regression an overview sciencedirect. Solution to path analytic models with correlated errors t.
304 278 306 53 924 547 390 1532 693 593 48 771 1112 1424 1378 1544 663 436 562 1422 1288 1501 854 1137 1561 298 335 1054 521 1101 546 633 89 880 2 1077