In this paper, we propose an efficient weighted average estimator in Seemingly Unrelated Regressions. This average estimator shrinks a generalized least squares (GLS) estimator towards a restricted GLS estimator, where the restrictions represent possible parameter homogeneity specifications. The...

In the era of Big Data, selecting relevant variables from a potentially large pool of candidate variables becomes a newly emerged concern in macroeconomic researches, especially when the data available is high-dimensional, i.e., the number of explanatory variables (p) is greater than the length...