The SUR method requires an initial OLS regression to compute residuals. The OLS residuals are used to estimate the cross-equation covariance matrix. The SUR option on the PROC SYSLIN statement ...

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 ...

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 ...