SURE Models

In recent weeks I've had several people email to ask if I can recommend a book that goes into all of the details about the "Seemingly Unrelated Regression Equations" (SURE, or just SUR) model. Any decent econometrics text discusses this model, of course. However, the treatment usually focuses on the asymptotic properties of the standard estimators - iterated feasible GLS, or MLE. This is fine, but what about things like: A comprehensive treatment of the finie-sample...