For seemingly unrelated regression (SUR) models with integrated regressors, two sufficient conditions are identified, under which the ordinary least-squares estimator (OLSE) is asymptotically efficient. The first condition is that every pair of regressor processes are cointegrated in a specific way that one regressor is a linear combination of the other regressor up to a zero-mean stationary error and the second condition is that, for every pair of regressor processes, the pair of error processes deriving the regressor processes have zero long-run covariance.
Bibliographical noteFunding Information:
The authors are very grateful for an associate editor and a referee for many helpful comments. This work was supported by Korea Research Foundation Grant KRF-2002-042-C00008.
- Generalized least-squares estimator
- Long-run covariance