On efficient estimators of two seemingly unrelated regressions

In this paper, following the results presented in Liu’s work [Liu, A.Y., 2002. Efficient estimation of two seemingly unrelated regression equations. Journal of Multivariate Analysis 82, 445–456], we first represent the Gauss–Markov estimator of the regression parameter as a matrix series, and hence we conclude that the observation vectors should appear in any efficient estimator in pairs. Second, we prove that the simpler form of the two-stage Aitken estimator is unique. Finally we generalize our results to the system of two seemingly unrelated regressions with unequal numbers of observations and briefly summarize our conclusions.