IDEAS home Printed from https://ideas.repec.org/a/eee/dyncon/v30y2006i5p721-739.html
   My bibliography  Save this article

Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process

Author

Listed:
  • Gatu, Cristian
  • Kontoghiorghes, Erricos J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Gatu, Cristian & Kontoghiorghes, Erricos J., 2006. "Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 721-739, May.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:5:p:721-739
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(05)00060-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kontoghiorghes, E. J. & Clarke, M. R. B., 1995. "An alternative approach for the numerical solution of seemingly unrelated regression equations models," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 369-377, April.
    2. Cristian Gatu & Erricos Kontoghiorghes, 2005. "Efficient strategies for deriving the subset VAR models," Computational Management Science, Springer, vol. 4(4), pages 253-278, November.
    3. Cristian Gatu & Erricos Kontoghiorghes, 2002. "A branch and bound algorithm for computing the best subset regression models," Computing in Economics and Finance 2002 294, Society for Computational Economics.
    4. Paolo Foschi & Erricos J. Kontoghiorghes, 2003. "Estimation of VAR Models: Computational Aspects," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 3-22, February.
    5. Maringer, Dietmar G., 2004. "Finding the relevant risk factors for asset pricing," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 339-352, September.
    6. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
    7. Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
    8. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gatu, Cristian & Yanev, Petko I. & Kontoghiorghes, Erricos J., 2007. "A graph approach to generate all possible regression submodels," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 799-815, October.
    2. Gatu, Cristian & Kontoghiorghes, Erricos J. & Gilli, Manfred & Winker, Peter, 2008. "An efficient branch-and-bound strategy for subset vector autoregressive model selection," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1949-1963, June.
    3. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 4-15, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gatu, Cristian & Kontoghiorghes, Erricos J. & Gilli, Manfred & Winker, Peter, 2008. "An efficient branch-and-bound strategy for subset vector autoregressive model selection," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1949-1963, June.
    2. Foschi, Paolo & Kontoghiorghes, Erricos J., 2003. "Estimating seemingly unrelated regression models with vector autoregressive disturbances," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 27-44, October.
    3. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
    4. Hofmann, Marc & Kontoghiorghes, Erricos John, 2010. "Matrix strategies for computing the least trimmed squares estimation of the general linear and SUR models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3392-3403, December.
    5. Gatu, Cristian & Yanev, Petko I. & Kontoghiorghes, Erricos J., 2007. "A graph approach to generate all possible regression submodels," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 799-815, October.
    6. Coakley, Jerry & Fuertes, Ana-Maria & Smith, Ron, 2006. "Unobserved heterogeneity in panel time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2361-2380, May.
    7. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
    8. Chipman, John Somerset & Winker, Peter, 1994. "Optimal industrial classification: [an application to the German industrial classification system]," Discussion Papers, Series II 236, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    9. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
    10. Godolphin, J.D., 2009. "New formulations for recursive residuals as a diagnostic tool in the fixed-effects linear model with design matrices of arbitrary rank," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2119-2128, April.
    11. Hofmann, Marc & Gatu, Cristian & Kontoghiorghes, Erricos John, 2007. "Efficient algorithms for computing the best subset regression models for large-scale problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 16-29, September.
    12. Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.
    13. Campos, Eduardo Lima & Cysne, Rubens Penha, 2017. "A time-varying fiscal reaction function for Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 795, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    14. Rodrigo Hakim das Neves, 2020. "Bitcoin pricing: impact of attractiveness variables," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    15. Asghar, Zahid & Abid, Irum, 2007. "Performance of lag length selection criteria in three different situations," MPRA Paper 40042, University Library of Munich, Germany.
    16. Kathryn M. Dominguez, 1991. "Do Exchange Auctions Work? An Examination of the Bolivian Experience," NBER Working Papers 3683, National Bureau of Economic Research, Inc.
    17. Grigori Fainstein & Igor Novikov, 2011. "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 20-45, June.
    18. Bin Liu & Weifeng Chen & Bo Li & Xiuping Liu, 2022. "Neural Subspace Learning for Surface Defect Detection," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
    19. Jacint Balaguer & Manuel Cantavella-Jorda, 2004. "Structural change in exports and economic growth: cointegration and causality analysis for Spain (1961-2000)," Applied Economics, Taylor & Francis Journals, vol. 36(5), pages 473-477.
    20. Muhammad Farooq Arby & Amjad Ali, 2017. "Threshold Inflation in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 13, pages 1-19.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:30:y:2006:i:5:p:721-739. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jedc .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.