The Bias of OLS, GLS and ZEF Estimators in Dynamically Seemingly Unrelated Regression Models

B Schipp, JF Kiviet, GDA Phillips

Research output: Contribution to journalArticle (Academic Journal)

10 Citations (Scopus)

Abstract

Asymptotic expansions are employed to derive and compare O(T−1) approximations to the biases of the OLS, systems GLS, and Zellner's efficient estimators for a system of seemingly unrelated dynamic regression equations. The bias approximations are used to construct estimators which are unbiased to O(T−1) and the performance of these bias corrected estimators is examined and compared through Monte Carlo simulation of a two equation model.
Translated title of the contributionThe Bias of OLS, GLS and ZEF Estimators in Dynamically Seemingly Unrelated Regression Models
Original languageEnglish
Pages (from-to)241-266
Number of pages26
JournalJournal of Econometrics
Volume69
Issue number1
DOIs
Publication statusPublished - 1995

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