Xu’s research was supported by Key Academic Project from Bureau of Statistics of Zhejiang Province(201325);Research Project of the National Statistics(2013LY119);Bai’s work was partially supported by National Natural Science Funds for Young Scholar(No.11001162);Shanghai University of Finance and Economics through Project 211 Phase IV and Shanghai Leading Academic Discipline Project(No.B804)
In this paper, we propose a class of varying coefficient seemingly unrelated regression models, in which the errors are correlated across the equations. By applying the series approximation and taking the contemporane...