Inconsistencies in SURE Models: Computational Aspects

The solution of the SURE model with singular variance-covariance matrix results in redundancies and possibly inconsistencies among the observations of the model. A numerical procedure is proposed and investigated that generates a consistent model from an inconsistent one. The use of SVD has been used to compute the various factorizations arising in the solution of the SURE model when treated as a generalized linear least squares problem.

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Year of publication:	2000
Authors:	Kontoghiorghes, Erricos J.
Published in:	Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 16.2000, 1/2, p. 63-70
Publisher:	Society for Computational Economics - SCE
Subject:	SURE models \| least-squares \| Kronecker products \| SVD

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005674183