Unformatted text preview: SUR estimates lead to gains in efficiency relative to OLS. BM 106-108 Deriving the variance of the SUR estimator for eventual com- parison with the variance of the OLS estimator (Cover these pages on your own). BM 109 Comparing variances of regression coefficients between OLS and SUR models Kmenta 639-643 . Original source for BM pages 106-109. (Condensed to . These pages specify the precise conditions under which two pages) SUR leads to gains in efficiency relative to OLS. . Note that these pages support Zellner pages 348 and 363. End Of Material Not Covered Last Class BM 110-116 Introduction to Fixed Effects Models: We will address this after we cover systems of simultaneous equations. Right-Hand-Side Variables That Do Not Abide By The Classical Assumptions BM 117-120 Treating the design matrix (X) as not fixed and finding the instrumental variable estimator....
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This note was uploaded on 12/08/2011 for the course ECON 703 taught by Professor Bernardmorzuch during the Fall '10 term at UMass (Amherst).
- Fall '10