ABSTRACT
In this chapter we analyse a multi regressions model, a là Zellner’s (1962a) set of seemingly unrelated regressions (SUR), with the purely random coefficients. The related multi equations model discussed in Chapter 10 differs with the SUR model in three respects. First, in all the models of Chapter 10 the matrix of explanatory variables was the same across equations. Second, the set of regression coefficients on the average remained the same for different equations. Third, the correlation across equations was not considered. In contrast, in this chapter we will consider a multi regressions model without these restrictions.
