The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models

Asymptotic expansions are employed to derive and compare O(T−1) approximations to the biases of the OLS, systems GLS, and Zellnerʹs efficient estimators for a system of seemingly unrelated dynamic regression equations. The bias approximations are used to construct estimators which are unbiased to O(T−1) and the performance of these bias corrected estimators is examined and compared through Monte Carlo simulation of a two equation model.