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REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS

Published online by Cambridge University Press:  09 July 2008

Hailong Qian
Hailong Qian*
Affiliation:
Saint Louis University
*
Address correspondence to Hailong Qian, Department of Economics, John Cook School of Business, Saint Louis University, 3674 Lindell Blvd., St. Louis, MO 63108, USA; e-mail: qianh@slu.edu
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Abstract

In this note, based on the generalized method of moments (GMM) interpretation of the usual ordinary least squares (OLS) and feasible generalized least squares (FGLS) estimators of seemingly unrelated regressions (SUR) models, we show that the OLS estimator is asymptotically as efficient as the FGLS estimator if and only if the cross-equation orthogonality condition is redundant given the within-equation orthogonality condition. Using the condition for redundancy of moment conditions of Breusch, Qian, Schmidt, and Wyhowski (1999, Journal of Econometrics 99, 89–111), we then derive the necessary and sufficient condition for the equal asymptotic efficiency of the OLS and FGLS estimators of SUR models. We also provide several useful sufficient conditions for the equal asymptotic efficiency of OLS and FGLS estimators that can be interpreted as various mixings of the two famous sufficient conditions of Zellner (1962, Journal of the American Statistical Association 57, 348–368).

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 5 , October 2008 , pp. 1456 - 1460
Copyright
Copyright © Cambridge University Press 2008

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References

REFERENCES

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