抄録
In this paper we derive the risk function of the unrestricted and the restricted Zellner's estimators in the SUR equations model used in Revankar (1974, 1976) under the quadratic loss function when the model is misspecified. Using numerical calculations, we compare the risk performance of the OLS and Zellner's estimators. As the result of the analysis, the misspecification in the model influences the risk performance of estimators greatly.
