However, in small samples the need to estimate the covariance matrix from the OLS residuals increases the sampling variability of the SUR estimates, and this effect can cause SUR to be less efficient ...

In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Historically, researchers in the two literatures have used different solutions ...

One key assumption is that the errors are independent of each other. However, with time series data, the ordinary regression residuals usually are correlated over time. It is not desirable to use ...