Atkinson, Scott E.; Wilson, Paul W. - In: Econometric Theory 8 (1992) 02, pp. 258-275
When estimating the seemingly unrelated regression (SUR) model in small samples, the bootstrap feasible generalized least-squares (FGLS) covariance estimator has been widely advocated as less biased than the conventional FGLS covariance estimator obtained by evaluating the asymptotic covariance...