Economics 310 Lecture 17 Seemingly Unrelated Regressions

Seemingly Unrelated Regression Models Have several regressions using different data sets that span the same period of time. Believe that their can be external forces that simultaneously affect the errors contemporaneously for each model.

Seemingly Unrelated Regressions

No Contemporaneous Covariance

Contemporaneous Covariance

Covariance Matrix of Estimator

Estimated Generalized Least- Squares estimator

Fuel Consumption Have data for 3 countries on fuel consumption per capita and per capita income. The data covers the period from 1971 to 1992

Restricted Estimate Same coefficients

Testing Restriction

Testing for Contemporaneous Covariance BREUSCH-PAGAN LM TEST FOR DIAGONAL COVARIANCE MATRIX