If there are two SUR models, each containing two equations, and the only differences between them is the exclusion of a dummy variable in the second set (or say, the intercept term) what measures should one use to compare the two SUR models? The same measures as in regular OLS?

The goal for me to select the 'best fit' model is linear prediction.

  • $\begingroup$ I am yet to find further information to this question, but I did learn about 'McElrory R^2' which can be used to assess the goodness-of-fit of the whole system of equations, e.g. from SUR. This post contains a reference: stats.stackexchange.com/questions/93751/… $\endgroup$ – StatsScared Feb 18 at 1:39

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