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Seemingly Unrelated Regression

Seemingly Unrelated Regressions, introduced by Arnold Zellner in 1962, is a system regression method that estimates several linear equations jointly when their error terms are correlated across equations. By exploiting that cross-equation correlation through generalized least squares, it is more efficient than estimating each equation separately by OLS.

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Seemingly Unrelated Regressions (SUR)

Taksonomisk metoderegister · regression-model / econometrics

Zellner, A. (1962). An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias. Journal of the American Statistical Association, 57(298), 348-368. · DOI 10.1080/01621459.1962.10480664

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