Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models

We derive two new confidence ellipsoids (CEs) and four CE variations for covariate coefficient vectors with nuisance parameters under the seemingly unrelated regression (SUR) model. Unlike most CE approaches for SUR models studied so far, we assume unequal regression coefficients for our two regression models. The two new basic CEs are a CE based on a Wald statistic with nuisance parameters and a CE based on the asymptotic normality of the SUR two-stage unbiased estimator of the primary regression coefficients. We compare the coverage and volume characteristics of the six SUR-based CEs via a Monte Carlo simulation. For the configurations in our simulation, we determine that, except for small sample sizes, a CE   based on a two-stage statistic with a Bartlett corrected (1−α)(1−α) percentile is generally preferred because it has essentially nominal coverage and relatively small volume. For small sample sizes, the parametric bootstrap CE based on the two-stage estimator attains close-to-nominal coverage and is superior to the competing CEs in terms of volume. Finally, we apply three SUR Wald-type CEs with favorable coverage properties and relatively small volumes to a real data set to demonstrate the gain in precision over the ordinary-least-squares-based CE.