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Economics 310

Economics 310. Lecture 17 Seemingly Unrelated Regressions. Seemingly Unrelated Regression Models. Have several regressions using different data sets that span the same period of time.

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Economics 310

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  1. Economics 310 Lecture 17 Seemingly Unrelated Regressions

  2. Seemingly Unrelated Regression Models • Have several regressions using different data sets that span the same period of time. • Believe that their can be external forces that simultaneously affect the errors contemporaneously for each model.

  3. Seemingly Unrelated Regressions

  4. No Contemporaneous Covariance

  5. Contemporaneous Covariance

  6. Contemporaneous Covariance

  7. Covariance Matrix of Estimator

  8. Estimated Generalized Least-Squares estimator

  9. Fuel Consumption • Have data for 3 countries on fuel consumption per capita and per capita income. • The data covers the period from 1971 to 1992

  10. Restricted EstimateSame coefficients

  11. Testing Restriction

  12. Testing for Contemporaneous Covariance BREUSCH-PAGAN LM TEST FOR DIAGONAL COVARIANCE MATRIX

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