Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model
本文给出了两方程似不相关回归模型中Zellner估计量协方差矩阵的一个界，以及具有两个不同方差的异方差模型中两阶段Aitken估计量协方差矩阵的一个界，并考虑了这些估计量相对于普通最小二乘估计量的效率。
Abstract This article gives a bound for the covariance matrix of Zellner's estimator with the unrestricted sample covariance matrix in the two equations seemingly unrelated regression (SUR) model, and a bound for the covariance matrix of the two-stage Aitken estimator (2SAE) in a heteroscedastic model with two distinct variances. Some efficiencies of these estimators relative to the ordinary least squares estimator (OLSE) are also considered.