SURSlides33-2010 - Seemingly Unrelated Regression Notes...

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Seemingly Unrelated Regression Notes Charles B. Moss December 1, 2010 Charles B. Moss () Seemingly Unrelated Regression Notes December 1, 2010 1 / 10
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1 Simple SUR Formlation 2 Alternative Setup of SUR Charles B. Moss () Seemingly Unrelated Regression Notes December 1, 2010 2 / 10
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Simple SUR Formulation I thought it may be a good idea to work through the mechanics of the matrix operations in Seemingly Unrelated Regression with respect to the Kronecker products. As a starting point, consider a simple regression model 1 x 11 x 12 00 0 1 x 21 x 22 1 x 31 x 32 00 01 x 11 x 12 x 21 x 22 x 31 x 32 β 01 β 11 β 21 β 02 β 21 β 22 = y 11 y 21 y 31 y 12 y 22 y 32 . (1) Charles B. Moss () Seemingly Unrelated Regression Notes December 1, 2010 3 / 10
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The errors from this regression model can be used to form a residual matrix ± = y 11 β 01 β 11 x 11 β 21 x 12 y 21 β 02 β 12 x 11 β 22 x 12 y 21 β 01 β 11 x 21 β 21 x 22 y 22 β 02 β 12 x 21 β 22 x 22 y 31 β 01 β 11 x 31 β 21 x 32 y 32 β 02 β 12 x 31
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SURSlides33-2010 - Seemingly Unrelated Regression Notes...

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