Qian, Hailong - In: Econometric Theory 24 (2008) 05, pp. 1456-1460
In this note, based on the generalized method of moments (GMM) interpretation of the usual ordinary least squares (OLS) and feasible generalized least squares (FGLS) estimators of seemingly unrelated regressions (SUR) models, we show that the OLS estimator is asymptotically as efficient as the...