A New Distribution Form for SURE Estimates

by Ahmed H. Youssef.

Abstract: A general distribution function for the coefficients of seemingly unrelated regression equations (SURE) model when we unrestricted regression (SUUR) equations was studies in this paper. The exact probability density function of the estimators was derived and studied by Zellner (1962, 1972) and it is very hard to study the properties of this distribution. A new form for this probability density function is presented and generalized. The cumulative distribution function, and the r th moment, the characteristics function for SUUR equations estimators are derived in a simple form.

Key Words: Seemingly Unrelated Regression Equations model, Seemingly Unrelated Unrestricted Regression Equations, Distribution function

Ahmed H. Youssef, ahyoussef@hotmail.com

Editor: Bradley T. Ewing,Bewing@ba.ttu.edu

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