CHAPTER 6. SIMULTANEOUS EQUATIONS
same in each equation, so that Eνitνjs = σijρts, or Eνν = R Σ, then GLS using this covariance structure collapses to GLS applied separately to each equation. When there is no correlation across t, GLS collapses to OLS. Suppose you are interested in estimating the pa rameters of the beha vioral demand equation (1).
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