SOME RESULTS ON ESTIMATING THE REGRESSION PARAMETERS IN SURS

To estimate the regression parameters in seemingly unrelated regression system （SURS） a new method is proposed in this paper, i.e. some complicated matrix in BLUE \widehat\beta of β replaced by a series of simpler matrices （or a simpler matrix） and the uubiased estimator of β is obtained respectively. The covariance improvement estimate （OIE） may be considered as an approximation of BLUE in a sense. When OIE can be improved, the genaralized OIE（GCIE） is introduced and some statistical properties of GOIE is discussed. When ∑＞0 is known, the admissible linear estimates of β_i is obtained.