Shukur, Ghazi; Zeebari, Zangin - Centre of Excellence for Science and Innovation … - 2011
In this paper we introduce an interesting feature of the Generalized Least Absolute Deviations (GLAD) method for Seemingly Unrelated Regression Equations (SURE) models. Contrary to the collapse of Generalized Least Squares (GLS) parameter estimations of SURE models to the Ordinary Least Squares...