Abstract
In this paper, we consider a system of seemingly unrelated regression equations: with where the symbol denotes the linear space spanned by all the column vectors of matrix Some exact finite sample results of Zellner’s two-stage β-estimators are extended under multivariate normal and multivariate t distributions of the disturbances, respectively. It is found that when the relevant information among can increase the efficiency of the two-stage estimator of βi , and this efficiency increases with the sample size n, where is the multiple correlation coefficient between yi and
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