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
Author:
Ahmed H. Youssef, ahyoussef@hotmail.com
Editor:
Bradley T. Ewing,Bewing@ba.ttu.edu
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