On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances

@inproceedings{Hasegawa1995OnSS,
  title={On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances},
  author={Hikaru Hasegawa},
  year={1995}
}
In this paper we consider Zellner's estimator in the two SUR equations model used in Revankar (1974, 1976) when the disturbances are distributed as a matric variate compound normal distribution which includes a matric t distribution. We show the risks of the unrestricted and the restricted Zellner's estimators and derive the region where the restricted Zellner's estimator dominates the unrestricted one. As a result, we show that as the distribution of disturbances becomes far from the normal… CONTINUE READING

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