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 contribution||The Bias of OLS, GLS and ZEF Estimators in Dynamically Seemingly Unrelated Regression Models|
|Number of pages||26|
|Journal||Journal of Econometrics|
|Publication status||Published - 1995|