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A note on the estimation of seemingly unrelated regression systems
Authors:Peter Schmidt
Affiliation:Michigan State University, East Lansing, MI 48823, USA
Abstract:In a system of simultaneous equations, one obtains the same results for the overidentified equations by applying three-stage least squares to those equations alone as one would obtain by applying three-stage least squares to the entire system. This paper obtains an analogous result for a system of seemingly unrelated regressions. In doing so it generalizes earlier results of several other authors.
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