Abstract
The paper considers the estimation of seemingly unrelated regression equations with unequal numbers of observations. The efficient coefficient estimates, based on known disturbance covariance matrix, are derived. When a consistently estimated disturbance covariance matrix is used, the coefficient estimates are consistent and asymptotically efficient. Several possible consistent estimates of the disturbance covariance matrix are discussed, and a Monte Carlo experiment is performed to examine the small sample properties of the resulting coefficient estimates.
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