Seemingly Unrelated Regressions

Abstract

In econometrics, the seemingly unrelated regressions (SUR)[1] or seemingly unrelated regression equations (SURE)[2] model, proposed by Arnold Zellner in (1962), is a generalization of a linear regression model that consists of several regression equations, each having its own dependent variable and potentially different sets of exogenous explanatory variables. Each equation is a valid linear regression on its own and can be estimated separately, which is why the system is called seemingly unrelated,[3] although some authors[4] suggest that the term seemingly related would be more appropriate, since the error terms are assumed to be correlated across the equations.