Fiebig, Denzil; Kim, Jae - In: Econometric Reviews 19 (2000) 1, pp. 105-130
There is a tendency for the true variability of feasible GLS estimators to be understated by asymptotic standard errors. For estimation of SUR models, this tendency becomes more severe in large equation systems when estimation of the error covariance matrix, C, becomes problematic. We explore a...