1. Systems of Regression Equations Cross-Sectional Time Series of Investment Data Boot, J. and G. deWitt (1960). “Investment Demand: An Empirical Contribution to the Aggregation Problem,” International Economic Review, Vol. 1, pp. 3-30

2. Grunfeld’s Investment Data Cross-Section: n=10 Firms (GM, US Steel, GE, Chrysler, Atlantic Refining, IBM, Union Oil, Westinghouse, Goodyear, Diamond Match) Time Series: T=20 years per firm (1935-1954) Dependent Variable:  Gross Investment (Y, in millions of 1947 $) Independent Variables:  Value of Firm (X 1, in millions of 1947 $)  Stock of Plant/Equipment (X 2, in millions of 1947 $)

3. Regression Model

4. Special Cases - I

5. Special Cases - II

6. Equal , Equal  , Independent  ijt

7. Equal , Unequal  , Independent  ijt

8. Equal , Unequal  , Independent  ijt - Iterated (ML)

9. Cross-Sectional Correlation Over Time - I

10. Cross-Sectional Correlation Over Time - II

11. Cross-Sectional Correlation- Iterated EGLS – (ML)

12. Autocorrelated Errors - I

13. Autocorrelated Errors - II

14. Autocorrelated Errors - III

15. Autocorrelated Errors - IV

16. Cross-Sectional and Autocorrelation - I

17. Cross-Sectional and Autocorrelation - II

18. Random Regression Coefficients - I

19. Random Regression Coefficients - II

20. Random Regression Coefficients - III

21. Firm Results - I Note: Gamma estimate does not Subtract off the average of the V matrices (not positive definite)

22. Firm Results - II

23. RCR – Best Linear Unbiased Predictors

24. Firm Results – BLUP’s

25. Test for Equal  s ( 

26. Seemingly Unrelated Regressions (SUR)

27. Firm Example - I

28. Firm Example - II Estimated GLS ML (Iterated GLS)