Seemingly unrelated regression model with unequal size observations: Computational aspects

DOI10.1016/S0167-9473(02)00146-9zbMath1018.65015OpenAlexW2010806348MaRDI QIDQ1874132

Paolo Foschi, Erricos John Kontoghiorghes

Publication date: 22 May 2003

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00146-9

zbMATH Keywords

algorithmsmaximum likelihood estimationlinear least-squares problemQR decompositionseemingly unrelated regression modelSUR model

Mathematics Subject Classification ID

Related Items (17)

Some overall properties of seemingly unrelated regression models ⋮ A computationally efficient method for solving SUR models with orthogonal regressors ⋮ Computationally efficient methods for estimating the updated-observations SUR models ⋮ On efficient estimators of two seemingly unrelated regressions ⋮ Computational methods for modifying seemingly unrelated regressions models. ⋮ Sparse seemingly unrelated regression modelling: applications in finance and econometrics ⋮ Matrix strategies for computing the least trimmed squares estimation of the general linear and SUR models ⋮ Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models ⋮ An algorithm to estimate time-varying parameter SURE models under different types of restriction ⋮ Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations ⋮ A comparative study of algorithms for solving seemingly unrelated regressions models ⋮ BLUP in the nested panel regression model with serially correlated errors ⋮ 2nd special issue on matrix computations and statistics ⋮ Unnamed Item ⋮ Efficient algorithms for block downdating of least squares solutions ⋮ Predictions under a system of linear regression models with correlated errors ⋮ A Novel Approach for Estimating Seemingly Unrelated Regressions with High-Order Autoregressive Disturbances

Cites Work

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• Parallel strategies for solving SURE models with variance inequalities and positivity of correlations constraints
• Estimation of VAR models: computational aspects
• Parallel strategies for computing the orthogonal factorizations used in the estimation of econometric models
• A Constrained Least Squares Approach to the General Gauss-Markov Linear Model
• Parallel algorithms for linear models. Numerical methods and estimation problems

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