Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2021
panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation … estimation problem is not always straightforward. We propose Dynamic Seemingly Unrelated Regression (DSUR) estimators which can … properties of the DSUR estimators both for heterogeneous and homogenous cointegrating vectors. The estimation techniques are then …