Arnold Zellner, 1927–2010
回顾阿诺德·泽尔纳的学术贡献,包括他提出的似不相关回归(SUR)和三阶段最小二乘法,对计量经济学领域影响深远。
Arnold started his career working on systems of equations. By viewing a system of regression equations as one stacked regression, he introduced a generalized least squares approach to estimation of the system. His 1962 article on what he termed "Seemingly Unrelated" regressions (SUR) is his most-cited article. In joint work with Henri Theil, that article was closely followed by application to systems of equations with endogenous right-hand-side variables, which became known as "three-stage least squares."