摘要:
对于m（≥3）SUR模型（1），其设计矩阵满足条件（4），本文得到了回归系数βi（i＝1，…，m）的两步Aitken估计的精确协方差表达式，从而获得了两步估计优于LS估计的有限样本性质。特别是，当m＝3时本文结果可以与Revankar（1974）给出的一类两方程SUR模型结果相比较.
Abstract:
For m（≥3） seemingly unrleated regression equations: yi = Xiβi+εi,（i=1,…, m）, with P1 =… = Pk, Pk+1 =… = Ps, Ps+1 =… = Pm and P1 =Ps+Pm, where Pi = Xi（X'iXi）-1X'i,the exact finite sample covariance matrix of Zellner’s two-step Aitken estimator ~βi of βi（i =1…，m）, based on the unrestricted estimate S of ∑ = （σij ） are obtained.When m = 3, all the three ~βi （i = 1, 2, 3） are shown to be more efficient then the OLS estimators of βi, for moderate departures of $\rho_{i j}^2=\sigma_{i j}^2 / \sigma_{i i} \sigma_{j j}$$ from zero, and the efficiencies are shown to be increased with the sample size n. These results can be compared with those obtained by Revankar（1974）for a system of 2SUR with X1=（X2,L）
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