A seemingly unrelated regressions approach to analyzing and forecasting financial ratios

TY - JOUR

T1 - A seemingly unrelated regressions approach to analyzing and forecasting financial ratios

AU - Frecka, Thomas J.

AU - Lee, Cheng F.

PY - 1983/8

Y1 - 1983/8

N2 - In this study, the joint movement of important financial ratios of firms is analyzed and determined by correlation analyses. These simultaneous relationship are used as the theoretical basis to develope a Seemingly Unrelated Regressions (SUR) partial adjustment model for financial ratio determination purposes. The SUR approach is then used to analyze and forecast financial ratios. It is found that the SUR model generally performs better than the OLS model in terms of parameter estimation and financial ratio forecasting for firms in the food and kindred products industry.

AB - In this study, the joint movement of important financial ratios of firms is analyzed and determined by correlation analyses. These simultaneous relationship are used as the theoretical basis to develope a Seemingly Unrelated Regressions (SUR) partial adjustment model for financial ratio determination purposes. The SUR approach is then used to analyze and forecast financial ratios. It is found that the SUR model generally performs better than the OLS model in terms of parameter estimation and financial ratio forecasting for firms in the food and kindred products industry.

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U2 - https://doi.org/10.1016/0148-6195(83)90018-8

DO - https://doi.org/10.1016/0148-6195(83)90018-8

M3 - Article

SN - 0148-6195

VL - 35

SP - 379

EP - 388

JO - Journal of Economics and Business

JF - Journal of Economics and Business

IS - 3-4

ER -