The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application

This paper considers the Ridge Feasible Generalized Least Squares Estimator (RFGLSE), Seemingly Unrelated Regression RSUR and proposes Kibria-Lukman KLSUR estimator for parameters of (SUR) model when regressors models are collinear. A simulation study was conducted to compare performance three different types estimators SUR model. Different correlation levels (0.0, 0.1, 0.2, ..., 0.9) among independent variables, sample sizes replicated 10000 times contemporaneous error equations were assumed study. The efficiency (RFGLSE, RSUR, SUR, predictors correlated, investigated using Trace Mean Square Error (TMSE). results showed that outperformed other except a few cases size is small.