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Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints

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  • Kontoghiorghes, Erricos J

Abstract

The problem of computing estimates of parameters in SURE models with variance inequalities and positivity of correlations constraints is considered. Efficient algorithms that exploit the block bidiagonal structure of the data matrix are presented. The computational complexity of the main matrix factorizations is analyzed. A compact method to solve the model with proper subset regressors is proposed. Citation Copyright 2000 by Kluwer Academic Publishers.

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  • Kontoghiorghes, Erricos J, 2000. "Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints," Computational Economics, Springer;Society for Computational Economics, vol. 15(1-2), pages 89-106, April.
    • Handle: RePEc:kap:compec:v:15:y:2000:i:1-2:p:89-106
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    Cited by:

    1. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 353-382, November.
    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. Foschi, Paolo & Kontoghiorghes, Erricos J., 2002. "Seemingly unrelated regression model with unequal size observations: computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 211-229, November.
    4. 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.

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