Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model
推导了SUR系统中单方程系数两阶段估计量的密度函数、方差和峰度的精确表达式，推广了该估计量的已知结果，并涵盖Zellner无限制协方差矩阵估计量的特例。
Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's unrestricted covariance matrix estimator, to which it reduces in these special cases.