Computing 3SLS solutions of simultaneous equation models with a possible singular variance-covariance matrix

DOI10.1023/A:1008617207791zbMath0893.90031OpenAlexW2102212027MaRDI QIDQ1366840

Elias Dinenis, Erricos John Kontoghiorghes

Publication date: 16 August 1998

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008617207791

zbMATH Keywords

QR decompositionmatrix factorizationssimultaneous equation modelthree-stage least squares estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parallel numerical computation (65Y05) Statistical methods; economic indices and measures (91B82) Probabilistic methods, stochastic differential equations (65C99)

Related Items

An efficient branch-and-bound strategy for subset vector autoregressive model selection ⋮ Computationally efficient methods for estimating the updated-observations SUR models ⋮ A recursive three-stage least squares method for large-scale systems of simultaneous equations ⋮ Computational methods for modifying seemingly unrelated regressions models. ⋮ Estimating seemingly unrelated regression models with vector autoregressive disturbances ⋮ A comparative study of algorithms for solving seemingly unrelated regressions models