Singh, Radhey S.; Wang, Lichun - In: Journal of Quantitative Economics 9 (2011) July, pp. 88-103
This paper considers Bayes and empirical Bayes estimation of the regression parameters in a system of two seemingly unrelated regression (SUR) models with Gaussian disturbances. Employing the covariance-adjusted technique, we obtain a sequence of Bayes estimators and show that this is the best...