Coefficients  ρ n=50 n=500 n=5000 β0 β1 β1 β3 β4 β0 β1 β1 β3 β4 β0 β1 β1 β3 β4 0 1.007 1.039 1.001 1.012 1.053 1.001 1 1 1.004 1 1 1.002 1 1 1.002 0.3 1.009 1.039 1.001 1.009 1.03 0.998 0.991 1 0.998 0.989 0.997 0.983 1 0.994 0.973 0.6 0.996 0.996 1 1 0.981 0.993 0.955 1 0.995 0.948 0.991 0.939 1 0.993 0.931 0.9 0.988 0.957 1 0.982 0.928 0.987 0.92 1 0.983 0.882 0.98 0.902 1 0.985 0.884

Table 1: Ratio of the mean square error of the multivariate model (SUR) to the univariate models (OLS) averaged. over the results of 10000 simulated datasets with sample size equal to 50 for each correlation level and for data generated with a common covariate.